Well, they are different in the way they are made. Take crystal, for example. It's wetted and kilned. This process actually changes the starches into sugars, and some of the sugars become unfermentable. So, you can't use it as a basemalt (not that you'd want to anyway) because you wouldn't get much fermentable sugars out of it. It does give color, flavor, and sweetness to beers and that's why it's used. Because it's processed, it does not need to be mashed, so it's good for steeping, as well as all-grain brewing. Some "specialty" grains that are used, though, can also be mashed (or even need to be- like flaked corn) and that's where it gets confusing.
this is a great little description of various malts: http://www.realbeer.com/jjpalmer/Malt101.html