These are the kinds of products that you might be thinking of creating. Very roughly speaking desktop software and phone apps require the most skill and experience to create followed by ‘hybrid’ apps and web apps.
Applications that run on a desktop operating system like Windows or Mac OS.
If your product requires either a large screen to use (like stats and analysis software) and/or it needs a powerful device to run it then it will probably need to be released as desktop software. However it is now possible to make a lot of products that traditionally would have been desktop applications as web applications. For example, the Google Docs services (web applications) now have almost the same functionality as the Microsoft Office programmes.
Example: Microsoft Word
Native phone apps
Apps written specifically for a mobile operating system like Android or iOS.
The main advantage of native apps is that you can make full use of a device's hardware features. This means you can make games which involve moving and tilting the device, iOS apps with images and graphics that make the most of the Retina Display and so on.
Apps written as websites, then processed by a service like Cordova or Phonegap to generate a native-like phone app.
The advantages of this are that using one project you can generate apps for multiple phone operating systems without having to learn new programming languages. The disadvantages are that you aren’t able to access all of a phone’s native features.
Example: the BBC Olympics app
Websites which communicate with a server to store, process and display data.
Because so many websites function like this, the terms ‘web application (app)’ and ‘website’ have become almost interchangeable. However it is important to make the distinction as a different set of skills are needed to build software and databases on a server than those needed to make the website that the users interact with.
The main advantage of web apps is that your users can access them from any device that has a web browser and is connected to the internet; they do not need to be downloaded and installed. However you are reliant on users being connected to the internet.