The pen styles are limited to the selection you see on the list, and they are scale-independent -- i.e. they stay the same spacing no matter what scale they are viewed/printed at. They do work smoothly on arcs.
Linetypes can have width (like batt insulation), whereas pen styles cannot. And you can create and use an unlimited number of linetypes.
The round, square, etc. is a fairly subtle difference in the way the ends of the pen styles are printed.
