I get this question about fantasy all the time.
What is the difference between paranormal romance, urban fantasy, steam punk, science fantasy, dark fantasy, fairytale fantasy, historical fantasy, high fantasy, contemporary fantasy?
Paranormal romance: Is a sub genre of romance. PR blends together reality with fantasy, science or horror.
Urban fantasy: A fantasy set in a urban place like a city. Instead of your heroes climbing mountains and trudging through swamps they may leap off of buildings or hide in the sewer by day.
Steam punk: Think cyber punk. This is a sub genre of Sci/Fi and often has alternate histories. Steam punk often has machines that Victorians may have envisioned as being futuristic. Often the machines are stream powered.
Science fantasy: This is not science fiction. In a Sci/Fi you have astronauts go into space and explore mars. They find an alien culture and a plot to take over earth. In a Science Fantasy you have elves go up in a space ship and explore mars. They find long lost relatives and are reunited with their Elvin kin. As Rod Serling, says "science fiction makes the implausible possible, while science fantasy makes the impossible plausible.
Dark fantasy: Think horror meets fantasy. Humans often your main character is threatened by someone or something with supernatural powers (i.e. vampires, trolls, brain eating zombies, etc.)
Fairytale fantasy: Folklore where something magical happens. Like a witch cast a sleeping spell that can only be broken by love’s first kiss. There are thousands of spin off that also fall under this category.
Historical fantasy: What I write!!!! This is a mix of Fantasy and Historical Fiction. Think fantasy with a historical backdrop.
High fantasy: A fantasy set in another world or parallel universe like “Middle Earth” from Lord of the Rings.
Contemporary fantasy: Fantasy set in the real world and in modern times.
For more fantasy genres visit: http://en.wikipedia.org/wiki/Category:Fantasy_genres