1) There are worsted yarns and woolen yarns. This depends largely on how the raw wool is treated before it is spun, and also on how the yarns are spun. Without going into too much detail, worsted yarns end up smoother, tighter, stronger, more regular. Woolen yarns are spongy and fluffy (sort of) with a lot of loose fibers sticking out in all directions.
2) Flannel is a weaving technique. Flannel can be made from worsted or woolen yarns. Woolen flannels are very spongy and hairy and irregular. Woolen flannel can't hold a crease to save its life, and drapes well only in fairly heavy weights. Nonetheless, they can show a color variation -- sort of the cloth equivalent of antiquing -- that other cloths can't match. Worsted flannels are a little more precise and smooth. They drape and hold a crease better, but are a tad more bland and lack, for certain connoisseurs, a true woolen flannel's je ne sais quoi.
3) True worsteds are cloths woven from worsted yarns on a loom that produces a very smooth, sturdy cloth that holds a crease and drapes well and resists wrinkles. This is the workhorse business cloth that makes up the vast majority of suitings sold today.
Finally, keep in mind that any of the above cloths can be made in any weights. As a practical matter, flannel tends to be made in the heavier weights, and truly heavy worsteds are increasingly rare. But weight is not a determinitive factor here.