OpenVZ basically implements containers at the OS level that run what amounts to a heavily locked down chroot jail with some level of resource access control and accounting (i.e. beancounters). It has very low overhead, but can only run Linux virtual machines with a compatible kernel version. Parallels sells Virtuozzo, which is the same deal, basically, for Windows and Linux.
Xen historically was a paravirtualizing hypervisor, and indeed still is, with the ability to run various guest OSes modified to use it. However, now, Xen supports running unmodified guests using Intel VT and AMD, which is nice in that it allows the use of such widely used OSes as Microsoft Windows.
Moving on, we then have VMware, which is absolutely superior to the above products in terms of functionality, enterprise support and performance, and has a price tag to match. I maintain its worth it, and I view the myriad hosting providers that use Xen and other products in a somewhat dim light, but its to be expected, since most providers in this industry only care about doing stuff as cheaply as possible.