Prophylactic Braces

Used mostly by athletes in contact sports like basketball, soccer, and football, this type of brace is a preventative measure, used to prevent injury to the knee. The American Association of Orthopaedic Surgeons (AAOS) is skeptical. They state: "there is no credible long-term scientifically conducted study that supports using knee braces on otherwise healthy players."
Functional Braces

Functional knee braces, like their name suggests, are designed to provide support for knees recovering from prior injury, while performing normal, day-to-day functions. Please note, these braces are not designed for high-load conditions - conditions that put a high amount of compression and rotational force on the knee joint. These are the kinds of braces that are most readily and cheaply available in your local drug store.
Rehabilitative Braces

Unloader/Offloader Braces

Here is a good video which surveys the four different kinds of knee braces:
For more information on knee braces and which kind is right for you, click here for an overview of knee braces provided by the Mayo Clinic.
Also, click here for an overview provided by FamilyDoctor.org.