OAuth
Used for delegated authorization
only -- meaning you are authorizing a third-party service access to use personal data, without giving out a password. Also OAuth "sessions" generally live longer than user sessions. Meaning that OAuth is designed to allow authorization
i.e. Flickr uses OAuth to allow third-party services to post and edit a persons picture on their behalf, without them having to give out their flicker username and password.
OpenID
Used to authenticate
single sign-on identity. All OpenID is supposed to do is allow an OpenID provider to prove that you say you are. However many sites use identity authentication to provide authorization (however the two can be separated out)
i.e. One shows their passport at the airport to authenticate (or prove) the person's who's name is on the ticket they are using is them.