What's the difference between ^C and ^D for UNIX/Mac OS X terminal?

CtrlC tells the terminal to send a SIGINT to the current foreground process, which by default translates into terminating the application. CtrlD tells the terminal that it should register a EOF on standard input, which bash interprets as a desire to exit.

Ctrl+D (^D) means end of file. It only works at the beginning of a line (I'm simplifying a little), and has no effect if the program isn't reading input from the terminal. In your experiment, ^D told the shell that you weren't going to type any more commands, so it exited; then the terminal exited because its subprogram had terminated.

Ctrl+C (^C) means “interrupt”, i.e., stop what you're doing. Technically, pressing ^C sends the INT signal, which by default terminates an application, but which in many programs means go back to the top level (e.g., in a shell, stop typing a command line and go back to a pristine prompt).

If a program doesn't respond to ^C, you can try Ctrl+\ (^\). This sends the QUIT signal, which by default terminates an application, and which not so many programs intercept.

Another key that sends a signal is Ctrl+Z (^Z). It sends the TSTP signal, which pauses the program running in the foreground. (TSTP is short for “terminal stop”; it's similar to STOP but TSTP can be ignored whereas STOP cannot.) From the shell, you can resume that program's execution with the fg command (resume in the foreground) or the bg command (resume in the background).

All of these keys can be changed with the stty command. Some programs, particularly full-screen programs that have key bindings, disable them.

Adding on to the 2 really good answers above, here's an example:

If you type python in the shell, it takes you into python's >>> prompt.

Now, if you hit Ctrl+C, it'll say KeyboardInterrupt and stay in the >>>.
If you enter into a for loop, e.g. by typing for x in (text): it waits for you to type further by showing a ... prompt, if you hit Ctrl+C now, it'll exit from the for statement and return to the >>> prompt
If you hit Ctrl+D at any point, whether in >>> or ... it will exit out of the python prompt and return to the original shell.

Similarly, if ssh'ed into another machine, a Ctrl+C will terminate any existing commands, Ctrl+D will do that and exit from the machine as well. (Also, the Delete key is same as doing a Ctrl+D)