Preview is for people developing apps against something to see specific new features that might be included. Preview is the old version with all of the dodgy new features that they wanted to put in but couldn't because they weren't stable enough for the previous release.
CTP is a preview that Microsoft wants real feedback for, and is deployed in particular to organisations that might need to change the way that their app behaves to cope with the new feature, or to check that deprecating/introducing features won't cause all of the secondary apps built by Microsoft partners suddenly fail in a future release. CTP is a stable preview (although sometimes interchangable with the word preview) that guages support for changes that may be taken out if the community don't like the features.
Alpha is the next step, and is released internally to Microsoft and selected third parties and represents the application coming together as a final product. When Alpha hits, new features arn't being added, but the existing features haven't been thoroughly tested yet, so Alpha builds will crash often, have lots of debug in so they are slow, and they might break third party apps because they haven't been stress tested against the wide range of real apps out there.
Beta is the step where Microsoft opens up the build to all and sundry and asks the world for their input. Beta builds are real releases in that they have stripped symbols and debug information, but they are more verbose and send back lots of diagnostic information to Microsoft so they can see how real users (outside of the Microsoft community) actually use the product. Beta is still not stable for use in critical infrastructure, but it's getting there.
Release Candidates (RC) are final builds that Microsoft is sending out into the wild. They are final, polished editions that Microsoft intends to sell to the public, but are now just being used to pick up any couple of bugs that might still be out there or usage stats to fine tune the UI.
Release To Manufacturing (RTM) build is the final shrinkwrapped executable that gets printed onto disks and sold to people at PC World. They're usually almost identical to the final RC apart from streamlining the UI according to usage stats and fixing bugs that might still be in there.
Service Pack and Patching is post-release fixes, usually in response to security vulnerabilities that are deployed to customers via various channels (usually Windows/Microsoft Update) for customers to continue to use the product safely. Just to make things more complicated, big Service Packs can themselves have Alpha/Beta/RC and RTM stages, although the whole process is compressed and so people outside of Microsoft tend to see those stages less.
So in conclusion Preview <= CTP < Alpha < Beta < RC < RTM = Final Release
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