The forms fragrances come in are various, here's an easy guide to the most common types that you'll see. These terms refer to the concentration of the oils that compose the fragrance. The more oil a scent contains, the less you need and the longer it will last on your body.
When fragrance shopping, take into account that while a mist may be less expensive than a perfume, you're more likely to spray more mist, and you'll have to touch up more often throughout the day. The average body mist user goes through a bottle every 3 months. The same scent in perfume form is likely to last over a year, simply because it is not being reapplied as often.
In order of lightest (least concentrated) to heaviest (most concentrated):
Body Mist or Splash has the lightest concentration of oil (anywhere from about 1-3%) Mists are comprised of about mostly of the carrier base, usually alcohol. (Eau Fraiche is a mist that is generally alcohol free, but contains a similar amount of fragrance oils.)
Cologne More common to men's fragrance terminology, a cologne (or Eau de Cologne) is only slightly more concentrated than a mist, having around 5% fragrance oil. Though women's fragrances aren't generally marketed as colognes, many fragrance houses make lighter (usually limited edition) "summer" versions of their popular permanent fragrances that would fit into this category.
Eau de Toilette (EdT) Typically the lightest version of a scent that a fine house of fragrance will produce, an EdT has anywhere from 5-15% aromatic compounds. If you like to layer your fragrance by using scented shower gels and lotions, then an EdT is a good way to ensure you don't overload, especially if your favorite is on the bolder side.
Eau de Parfum (EdP) is one of the most concentrated forms of a fragrance that you can buy, with oil concentrations up to around 20%. Because of variations in the formulation from one brand to another, the difference between Eau de Parfum and Parfum may be negligible; indeed, an EdP from one line may actually be more potent than a perfume from another.
Parfum or Perfume is the most concentrated version of a fragrance. Parfums usually contain around 20% aromatics, but can contain upwards of 40%. As I mentioned above, many modern parfums are essentially the same as their Eau de Parfum counterparts. Those that do have a higher oil concentration are usually sold in a stopper bottle (not a spray) and should feel slightly oily on the skin.