Bobby: What's the difference between a frog?
Ans : One leg's both the same.
This site rocks:
In my opinion:
Gain - a very generic term that means increasing of a signal. Internally, preamps have multiple gain stages as the signal gets increased. Externally, the gain knob controls the level going into the preamp. Conversely many amps have a volume setting too which controls the level to the poweramp.
Overdrive - light clipping or breaking up of the preamp
Distortion - light clipping or breaking up of the poweramp usually the preamp is driven hard and overdriving to supply a strong enough signal to get the poweramp to clip.
Here's another good reference: