What is the difference between (these four) sleep states?

S0 - On / Working

The computer is powered up. If supported, power conservation is handled by each device.

S1 - Sleep

CPU is stopped. RAM maintains power. Everything else is off, or in low power mode.

S2 - Sleep

CPU has no power. RAM maintains power. Everything else is off, or in low power mode.

S3 - Standby

CPU has no power. RAM maintains power, refreshes slowly. Power supply reduces power. This level might be referred to as “Save to RAM.” Windows enters this level when in standby.

S4 - Hibernate

Power to most hardware is shut off. Any files in memory are saved to the hard disk in a temporary file. If configured, the NIC will remain on for WOL, or AoL. This level is also known as “Save to disk.”

S5 - Off

Everything is off. No files are saved. If configured, the NIC will maintain power to listen for WOL (Magic) packets. This is known as a shutdown.

Source

Excerpt from Wikipedias article on ACPI

• S0/Working System is on. The CPU is fully up and running; power conservation is on a per-device basis.
• S1 Sleep System appears off. The CPU is stopped; RAM is refreshed; the system is running in a low power mode.
• S2 Sleep System appears off. The CPU has no power; RAM is refreshed; the system is in a lower power mode than S1.
• S3 Sleep (Standby) System appears off. The CPU has no power; RAM is in slow refresh; the power supply is in a reduced power mode. This mode is also referred to as 'Save To RAM'.
• S4 Hibernate System appears off. The hardware is completely off, but system memory has been saved as a temporary file onto the harddisk. This mode is also referred to as 'Save To Disk'.
• S5/Off System is off. The hardware is completely off, the operating system has shut down; nothing has been saved. Requires a complete reboot to return to the Working state.

Here's the full article