Range can return a reference to a range of cells or a single cell, where Cells only returns a single cell reference.
But you can combine them:
Range(Cells(1,1), Cells(10,10)).Select
Which would be the same as doing this:
Range("A1:J10").Select
Using them in conjunction can allow you to be very dynamic.
As for Worksheets vs. Sheets, the first will give you Worksheets only, the second will include Chart sheets.
HTH,