The short answer
The difference comes down to water. Lotions have the most, creams have less, and balms and butters have little or none. The more water in a product, the lighter it feels and the sooner it leaves the skin. The less water, the longer it stays.
Why it happens
A moisturizer is a mix of water, oils and butters, and the ratio decides how it behaves. Water makes a product spread easily and sink in fast. Oils and butters make it richer and slower to leave. Labels use these words loosely, but they describe a real range from light and watery to thick and rich.
Lotion has the most water. That is why it pours or pumps and spreads with almost no effort. It feels light, absorbs quickly and leaves little behind. Many people like it for warm weather and for skin that is only slightly dry. The tradeoff is that much of the water evaporates soon after you put it on, so a lotion usually needs to be reapplied during the day.
Cream sits in the middle. It holds water and oil in a thicker blend, so it feels richer than lotion and still rubs in without much fuss. Creams come in jars and tubes, and for everyday dry skin they are a reasonable middle ground. They stay longer than a lotion and feel lighter than a balm.
Balm has little or no water. It is mostly oils and butters, so it is thick, it sits on the surface instead of vanishing into it, and it stays there longer. It does not add water to the skin. It holds in the moisture that is already there, and that is why people reach for it on rough elbows, heels and hands during dry months.
Butter is the simplest of the group. A butter such as shea comes from a plant, and it is solid at room temperature. It melts at body warmth, so a small piece warms between the palms and turns soft. A pure butter has no water in it at all, which is part of why it lasts on the skin.
Where you apply matters too. Face skin often prefers a lighter touch, hands and heels can take the richest product you own, and a thin layer on the body in the morning is usually plenty. Many people keep two products for exactly this reason, one for daily comfort and one for the roughest spots.
The tradeoff with the thicker products is feel. Balms and butters are heavier. A little goes a long way, and using too much is the most common mistake. You will know you used too much if your skin feels greasy after a minute or two.
What helps
Match the product to the skin and the season. Lotion works for warm weather and for skin that is only a little dry. Cream suits everyday use when you want something richer. Balm or butter suits the rough, tight spots that lotion never seems to keep up with, and the cold months when dry air pulls moisture off your skin.
Timing matters as much as texture. Whatever you choose, put it on within a few minutes of a shower or a handwash, while your skin is still slightly damp. Thicker products work especially well this way, because they sit on top and hold that moisture in place.
You do not have to pick only one. Plenty of people use a lotion on their arms in the fall and switch to a butter or balm on hands and shins by January. Others use a cream by day and a balm at night, when the skin has hours to benefit.
A small amount is enough. Warm it between your palms first. Press it on instead of rubbing hard, and spend a little extra time on knees, elbows, heels and the backs of the hands. If you move from lotion to something thicker, expect a different feel. It takes a few days to get used to a product that stays put.
If a product bothers your skin, stop using it and try something simpler. Fewer ingredients mean fewer things to sort through. A patch test on your inner forearm for a few days before using a new product widely is a sensible habit.
When to ask for help
Moisturizers are made for how skin looks and feels, which is softer and more comfortable. If your skin is painful, weeping or red, if a rash will not go away, or if dryness keeps returning in spite of steady care, ask your doctor. Your pharmacist can also look at what you are using and tell you whether something in your routine, or a medicine you take, may be drying your skin.
The AHOTO note
Our jars hold no water. Pure Shea is a butter. It is one ingredient, cold pressed unrefined East African shea butter, solid in the jar and melting at body warmth. Golden is a balm, built on shea butter with oat kernel flour, rice bran extract, hydrolyzed soy protein and a light essential oil blend for scent. It contains oats and soy, and a patch test is recommended.