Deindexed - When your domain is completely removed from Google. Also known as Banned.
Penalized - When your domain or page still exists but none of your pages can be found through very direct search queries. This penalty can be automatic through the Google algorithm or manually applied by a Google Quality Engineer.
Sandboxed - Your domain or page wasn't Deindexed or Penalized, but the traffic you were getting from Google suddenly drops dramatically.