Depends on the lore realy, I've read books where wizards and sorcerers where so different, their magic had no effect on eachother.
However their "real" meanings I guess are something along these:
Witch: Practitioner of witchcraft male or female (witchen). Witchraft is mostly related to Pagan religion.
Warlock: is basicly a renegade witch.
Sorcerers: Someone with a talent and training to manipulate magic energies.
Wizard: is a lore-master, someone with great knowledge of the arcane studies, difference with a sorcerer is that it doesn't come naturally but through vast knowledge and study of what he tries to achieve. (hence the long white beards) Also, this is where the terms whiz-kid or computer wizard come from, they can do seemely impossible stuff with computers but only because they have spend years studying them.
Mage: is a ritualist, a shaman, rune-master etc...
However, in fantasy settings such as games or books, they're meanings vary. Warlocks for instance can be male witches, or mage/wizard-warriors, or necromancers etc etc... when their 'real' definition is just a witch gone bad (Pagan, Wiccans, witches as in the religion are all about balance, rule of three, what you so you shall reap etc...)