Single Malt is a whisky made at just one single distillery and is made using malted barley, yeast and water. It may be made up of several different casks from that one distillery. It may be made anywhere in the world but if it is not from Scotland it cannot be called Scotch single malt whisky. Within the category you also have single cask single malt whisky, which is whisky from just one cask, and cask strength single malt whisky which is bottled at the strength when it comes out of the cask, normally much higher than a normal bottling strength.
Blended whisky is the most popular type of whisky on the market, and it dominates Scotch whisky sales. It is a mixture of single malt whiskies from a number of distilleries mixed with grain whisky - whisky produced from a column still using other grains to barley.
Blended malt whisky - sometimes called pure malt though this term is outlawed by the Scotch Whisky Association - is a mixture of malt whiskies from different distilleries, but it does not contain grain whisky.
Grain whisky is produced from a mix of various grains such as wheat, rye and even corn. In Scotland it is used mainly for blended whisky and is less frequently bottled than pure grain whisky.