Site Pages
These Pages are stored in the Content Database and they are parsed when requested by user. A typical web part page is an example of Site Pages. They can be edited, modified by the Power Users and customized according to their needs.
Application Pages
They are same as ASP.net Pages and stored on the layouts folder of SharePoint front end web server. When user requests , application pages are compiled and they are much faster than Site Pages. Admin Pages like settings.aspx, accessdenied.aspx are an example of Application Pages. Thus we can say that Application pages are common to all SharePoint Users.