Roles are nothing but applications or components. In other words, they are actually the application code.
Windows Azure categorizes applications in two categories:
a. Web application
b. Worker application
Web role / Web application: A web role is a Web application which can be accessed via HTTP. A web role can be hosted as a subset of ASP.NET and Windows Communication Foundation (WCF) technologies.
Worker role / Worker process: A worker role is a background processing application which is somewhat similar to a windows process. A worker role does not communicate directly with the external world. In other words, it does not accept requests directly from the external world.