Demons come from a possibly infinite plane known as the Abyss; it is basically a giant crack in reality with many 'layers' as you descend into it. It now opens onto the world itself, though the Great Gold Wyrm largely holds it shut. If you are insane, you can descend into the Abyss by entering the giant crack in the southwest of the Empire. Demons come in many flavors, led by the Demon Lords; there's a huge number of them and it's known that far more exist but are only known to the Diabolist and her supporters and the most obsessively foolish scholars. Demons can sometimes be cunning but most are more destructive than cunning. The Diabolist isn't exactly the Queen of All Demons, but most Diabolists have leaned more on Demons than any other Fiend.
Devils are cunning manipulators, though some can fight. Demons sometimes make soul contracts, but Devils are much more likely to give you what you want in return for your soul. Devils are ruled by the Pit Fiends, who are also sometimes called Archdevils. Where Demon Lords go on for millenia, the leadership ranks are constantly changing as old Devils get lazy and are pulled down. In an orderly way. Devils are an orderly people, who make rules, then twist them into knots but don't break them. Usually. Devils have often made deals with the Diabolist but have destroyed a fair number who broke said deals. But their real hate is saved for the Lich King, who ripped them off long ago and got away with it. They can't take his soul if he's now an immortal undead. Bastard.
Of course, some scholars argue that this is probably a bluff to lure people into foolish contracts with them.
Demodands once served Nerull, until the Raven Queen killed him and took his power. They may have once been demons or devils, but they now serve as the Jailors of the Gods, working for Torog, maintaining a prison known as 'Carceri'. The weakest are known as Farastu or 'Tarry' Demodands, so called because they constantly ooze tar. Farastu are the numerous shocktroops of Demodand society, swarming over foes and leading armies of slaves into battle; they guard the prisoners in Carceri and assist the recovery of escapees. Kelubar or Slime Demodands, are covered with slime. Kelubars are the officers who keep the Farastu in line; they also form squads to hunt escaped prisoners. The Shator Demodands are dry but have heavy skin folds. They are the leaders of the Demodands and usually potent wizards.
Shaggy Demodands often worship Torog and act as master jailers, designing prisons within the prison and watching over regions of Carceri. They come out when something has really gone wrong or a God needs a prison outside Carceri built.
It remains unclear if Daemons actually exist. They may be a branch of Devils or Demons, some sort of unholy cross-breeding of the two, or invaders from another universe. A third theory is that they were once Demi-Demons. They appeared in the 10th age, spreading disease for their master, Anthraxus. They are much less rarely encountered than Demons or Devils, but more than Demodands.