In DataList DataItems are rendered into table column, each item on new row. DataRepeater just renders DataItems using what you defined in templates so with DataRepeater you can use other tags like ul/li, div

A Repeater is the most flexible. In order of flexibilty/performance:
1) Repeater
2) DataList
3) DataGrid
A repeater has the best performance as it's lighter. DataLists and DataGrids have inbuilt methods which makes them heavier in load, but also very effective if you need to display data in a number of ways (ie sorting, indexing, records per page etc...) whereas with a Repeater you'd have to implement these yourself.
If you simply want to output some data on a page I'd recommend a Repeater. If however you'll be manipulating this data in any way, such as sorting etc... then use a DataList or DataGrid. The choice should depend upon the data you have and what you want to do with it.
Also as mentioned above it's much easier to implement custom html into a Repeater. You can still however do this with a DataGrid or DataList it's just a little more tricky.