Lag
Lag is the downtime period after performing certain attacks or maneuvers. While in the lag period, a player cannot attack or move, and he or she is completely vulnerable to the attacks from an opponent. Different attacks have different lag-times, with the general rule of thumb that more powerful attacks (such as Jigglypuff's Rest) get longer lag times.
Hitlag
Hitlag, refered to on the Dojo as "impact stall", is the time during an attack that a character "freezes" briefly while connecting with a usually powerful attack. This is most noticeable on moves such as Zelda's Lightning Kicks and Captain Falcon's Knee Smash. This lag will still affect the attacker even if the attack deals no damage, such as versus Mr. Resetti, stage elements, or a character that is invincible. In addition, when two similar attacks clash and "clink", or an attack is Perfect Shielded, it will produce slightly longer hitlag.
Not to be confused with hitlag is hitstun. Hitstun is the amount of frames between the time you get hit and when knockback actually occurs. Most hitstuns are only a few frames, but some hitstuns are quite large, such as Samus' fully-charged charge shot. This has approximately 30 frames of hitstun, which is one of the few hitstuns that is noticeable in real time. Notably, most electric-based attacks cause a decent amount of hitstun.
During the hitstun, it is possible to use a technique known as Smash DI, which is where you input a direction during the hitstun, and immediately go in that direction, regardless of the initital knockback direction. It is also possible to perform Multiple Smash DIs, which is best represented in the Perfect Control video on Youtube, at about 2:36, and a slower version at about 3:51, during the credits.
A trivial piece of information is that you can Smash DI even when frozen with the Ice Climber's freeze glitch.
Wi-Fi Lag
In Super Smash Bros. Brawl, when playing on Wi-Fi, their is a delay between pressing the button and your character performing the action. This was subject to huge criticism due to the fact this throws off timing for advanced combos, and makes guarding and evading attacks on time more difficult. Depending on the distance between the players, the lag becomes greater or less.
Screen Lag
Screen lag is not a product of Super Smash Bros., but of the equipment that is being used to display it. Some HDTVs and computer monitors have a short delay in displaying the game actions. While in some cases (especially when digital recording is being used) this delay can reach levels that make the game unplayable, other times it is a minor amount that can be tolerated. In fact, some players intentionally practice on a screen with a delay to improve their reaction time and predicting skills.
