Some of those are hard to explain simply because there are many interpretations of each varying from person to person; but here's the differences as I know them.
Mages - Similar to wizards, mages are often regarded as an offensive type of magician, using magic in combat to overcome an opponent.
Druid - Less of a magician than most might think. Druids are a group of beings aligned with paganistic beliefs (not as bad as it's believed to be, pagans aren't evil they are simply a religious group that worships nature). Much of their magic is believed to be derived by invoking the power of nature rather than relying on one's own power. Often associated with healing.
Wizards - Typical magician with an overall understanding of magic but no real specialization.
Warlocks - Magicians with a focus in occultist magic. These are your typical "evil" magic users. They focus in on using the dark arts in order to overpower and manipulate their enemies.
Paladin - Rarely are paladins considered magicians. Paladins are holy warriors. While typically not associated with magic, these warriors often carry relics and know limited spells that allow them to gain a tactical advantage against opposition.
Sorcerers - The most complete form of a magician. The sorcerer has gained sufficient knowledge of every known area of magic and is often associated with magicians that can cast spells without chants or catalysts of any kind (wands, potions, etc). It is also believed that the magic produced by sorcerers is borderline miracle. Normally magicians can affect things with certain limits, like being able to make things appear by altering the state of objects in the area (alchemy), whereas sorcerers can force things into existence without "equivalent exchange".