Flaked oats have been pre-gelatinized and can be thrown straight into your mash. Whole oats can be milled (they are very difficult to mill however) and put straight into your mash as they geletinize at mash temps, HOWEVER, you should give them a boil on the stove first to make sure. If crushed oats are the same thing as rolled oats, you will have to make porridge with them before you use them in your mash, too.
Taste wise, I don't think theres any difference. You might get better efficiency with the flaked oats but the price difference isn't worth it IMHO.