Sanguino is a variation of an Arduino using a more powerful chip. I.e. Just a micro-controller with a USB interface on a PCB with all the I/O available on connectors for Arduino compatible shields.
Sanguinololu is a complete Reprap controller using the same chip as Sanguino and plug in Pololu stepper drivers.
Melzi is a surface mount version with the stepper controllers on the same PCB. The advantage is they have much better PCB heatsinking so can deliver 1.2A with without external heatsinks or fans. It also a build in SD card and fan output plus it uses screw connectors and better MOSFETs as the Sanguinololu has problems delivering 10A for a heated bed.
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