if you are not familiar with either one.....

a good way to describe it:  cereal rye would be very similar to wheat.  However, cereal rye can be planted later than wheat, and cereal rye will start greening up in the spring a bit quicker than wheat; and it will show heads sooner than wheat, although rye grain harvest is later than wheat.  At least in our area, this is true.

annual ryegrass would be more like a lawn grass.  Not exactly, but that would be a close(r) description.

Annual  ryegrass does not put on as much topgrowth as cereal rye;  however, it is supposed to put a greater % into its roots.  That is one of the selling points of using annual ryegrass.  The big drawback is that annual ryegrass has a narrower planting window (see links I posted above).  I think annual ryegrass and Italian ryegrass are the same thing; if not, they are closely related.  Italian ryegrass can become a problem weed if you let it go to seed. It becomes a problem where trying to grow winter wheat and barley. 
So, if you are growing annual ryegrass as a cover crop, be sure to get it killed down before it heads out.

edit:  here's a good picture of cereal rye.  The 2nd picture down shows the mature plant,  and further down you can see the seed

on the same website, this is a picture of annual ryegrass.