Espresso - Espresso is Coffee, the difference is in the way it is brewed.  Very fine grounds are used and pressed through water to make a strong and concentrated Coffee.

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Latte' - Latte' starts with an Espresso shot, but then has Steamed Milk added, and a thin layer of frothed milk on the top.

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Macchiato - Steamed Milk, along with a shot of Espresso, and then topped with Steamed Milk.