This is another category of fasteners in which this terminology gets used interchangeably on a regular basis.  To find the right fastener, understanding the application is the best method. Here are a few points to remember each of these types of fasteners.

Self-Tapping

Self-Tapping screws have the ability to cut their own threads as the screw is driven into the base material.  These screws are used in situations where the fastener is driven into a pre-drilled hole. Other common terms: Sheet Metal Screws

Self- Drilling

Self-Drilling Screws ARE self-tapping screw with the added feature of a drill point.  The drill-shaped point that cuts through the metal or steel which eliminates the need to drill a pilot hole.  The drill points are numbered between #1 thru #5 which vary based on the thickness of steel the point can drill through.  Other common terms: Drill Bit Tip Screws, Tek Screws, Iron Eaters

Self-Piercing

Externally threaded fasteners with the ability to self-pierce light gauge metal and tap their own mating threads when driven.  Other common terms: Needlepoint screws, Zip Screws