A good list of the Pen series is here: http://www.subclub.org/shop/olympus.htm
The Pen F is a half-frame SLR, a very desirable piece of equipment for both collectors and users.
The S range was similar to the original Pen but with more shutter speeds.
The E range was the budget range with fixed focusing and auto exposure. There are several different models in this range with different features.
The D was the middle of the road range (more expensive than the original Pen/Pen S but cheaper than the Pen F system). It had an uncoupled meter, which was either selenium (D) or CdS (D2) and a faster lens (32mm / f1.9 for D and D2 or f1.7 for the D3) and faster speed (1/500).
The W had a wide angle lens.