Haulers
Industrials are, as the name suggests, not combat ships. They are designed to carry things -- large amounts of things -- around.
Tech 1 Industrial Ships
Tech 1 industrials all have a large cargo capacity but fairly weak shields and armor and low agility. They are cheap but they die very easily. This makes them useful for hauling large volumes with a low ISK value around in highsec, but unsuitable for lowsec or nullsec or for carrying high value cargo which will attract suicide gankers. For fitting, industrials tend to have base powergrid around the level of destroyers and quite high amounts of CPU.
Each race has its own industrials, which require their racial Industrial skill (Caldari Industrial, Gallente Industrial &c -- these skills cannot be trained on trial accounts). All Tech 1 industrials get 5% bonuses to maximum velocity and cargo capacity per level in their racial industrial skill.
However, the four races do not all have the same number of Tech 1 industrials, and which race's industrials will offer the highest cargo capacity depends on the amount of training time you are prepared to invest (as explained and demonstrated via a table of cargo capacities on the official Eve wiki).
Amarr
If you're only willing to train three levels of an industrial skill, the Amarr Bestower will offer you the best cargo capacity.
Caldari
Gallente
If you're willing to train all five levels of an industrial skill, the Gallente Iteron Mark V will offer you the best cargo capacity.
Minmatar
If you're only willing to train four levels of an industrial skill the Minmatar Mammoth will offer you the best cargo capacity.
Tech 2 Industrial Ships
Both types of Tech 2 industrial require the Transport Ships skill, and both have abilities which make them better at surviving trips to lawless space. Both also have the same two 5% per level bonuses to speed and capacity for their racial industrial skill that the Tech 1 industrials have (and you need all five levels of the racial industrial skill to fly them in the first place). Naturally, they also cost a lot.
Blockade Runners
Blockade runners align much faster than their Tech 1 equivalents, have a (possibly superfluous) bonus for some form of active tanking (shield boosting or armor repairing), and, most importantly, a bonus that lets them fit covert ops cloaking devices (and hence warp while cloaked). This means that even in nullsec the only dangerous moments for a properly-fitted and -flown blockade runner should be when it has to pass through stargates. The trade-off is that blockade runners carry less cargo than their Tech 1 equivalents.
Blockade runners are also one of the few classes of ship able to use the covert cynosural fields lit by Battleship#Black Ops black ops battleships.
Deep Space Transports
Unlike blockade runners, deep space transports have a larger capacity than their Tech 1 equivalents. They have the same bonuses to active tanking that blockade runners have, but instead of the bonus that lets blockade runners fit a covert ops cloak, they have a bonus to either raw shield hitpoints or raw armor hitpoints, helping them to fit substantial buffer tanks.
They also have a role bonus of +2 warp strength: this means they can't be tackled by just one warp disruptor or warp scrambler, though they can still be caught by bubbles, gangs of tacklers or the infinite strength point that can be used by HICtors.
Where blockade runners are meant to rely on speed and stealth to slip by the enemy, deep space transports are designed to bust their way through the enemy, relying on their warp strength and tanking abilities to escape. This probably won't work against a determined and well-prepared gatecamp, and using a deep space transport indicates to all and sundry that you have cargo you want to protect, so you should think carefully before deploying one.
