This is usually printed real small somewhere, or explained in a flyer on the condiment bar. Here's the gist:
Espresso drinks start with, of course, a shot or two of espresso. This is fine-ground coffee brewed under pressure. A shot is a little under an ounce and has around the same amount of caffeine as a cup of regular coffee.
A latte is espresso, steamed milk, and a little milk foam (a byproduct of the steaming process).
A cappuccino is like a latte, but with much more foam. Usually about half the cup is foam.
A mocha is a latte with chocolate. In other words, a hot chocolate with espresso. Usually served with whipped cream.
A caramel macchiato is a latte with vanilla syrup and caramel syrup, with the shots dropped in toward the end instead of the beginning of the drink-making process (that's the “macchiato” part).
An espresso macchiato is just milk foam, with espresso shots dropped in.
An espresso con panna is espresso and whipped cream.
An Americano is espresso diluted with hot water to make something about the strength of regular coffee.