High vs low pressure. Arteries take blood from the heart to the tissues of the body under high pressure. Veins take blood from the tissues back to the heart under much lower pressure. Arteries are thicker and have muscle in the walls, veins are thinner.
Direction. The biggest difference is the direction they flow: from the heart to the body for arteries and from the body toward the heart for veins. Arteries also have more muscle in their walls to withstand higher pressures. Arteries carry oxygen-rich blood away from the heart to feed the organs and the brain. Veins bring oxygen depleted blood back to the heart and the lungs to get oxygen.
Different roles. The simple answer is veins take blood toward your heart and arteries send blood away after being oxygenated( except pulmonary arteries). Arteries have thick muscular walls to endure high pressure and no valves. Veins have valves and carry de-oxygenated blood (except for pulmonary veins).
Artery. go to wikipedia. Read more...