Lolita is divided into sub-styles. The best known are Gothic, Sweet and Classical Lolita. Punk is often mentioned, but isn't actually as popular as the other three. There are several others, also frequently mentioned, but I find that many of these are very rare, out of fashion, or simply are not different enough from the basic styles to deserve a whole new category.
Meanwhile, other sub-styles grow bigger every day and still don't have special names. This is part of the growth of fashion: some styles are just fads, and quickly wither away, some evolve with time, keeping themselves current, and some are able to stay the same along the years.
Here is a list of most of the Lolita styles I have heard or read about (with some degree of corroboration), even if I don't "agree" with them, and a brief explanation and opinion on each. Please note that these are described from a western perspective. The comments on the current popularity of each sub-style might not be true for Japan/Asia.
This term was recently coined in the western Lolita community. It means a Sweet print outfit, but in black.
Personally, I find this term superfluous, but more people seem to use each day.
For an outfit without the "mandatory" petticoat, or that has a cutsew or cute t-shirt instead of a blouse. A toned-down or casual coordinate.
Sometimes confused with or merged with other Japanese fashions.
Probably the style with most historical influence. Generally jewel tones, neutrals and dusty colors, with a more grown-up appearance. Flowers, cameos and antique objects are common themes, elegance is the main point. Can vary from very similar to fancy mainstream clothing to almost historically accurate.
Classical painting prints have become popular recently.
Inspired by the countryside, said to be between Classical and Sweet. Rarely seen without straw hats and accessories. Common prints are flowers and gingham.
This style doesn't seem to be as popular nowadays.
One of the recent styles, it mixes Sweet aesthetics with a bit of Punk and "creepy" accessories, such as eyeball bows and bats. Common color scheme is pastels with bits of black.
A cross between Lolita and Decora fashion. A lolita coord, with a large amount of small hair accessories and colorful clothes layering found in Decora.
A somewhat short-lived fad, shares characteristics with OTT Sweet.
Theoretically, a mature style with visible corsets (and other antique-like undergarments), lace tights, and not as keen on modesty as other styles (but still modest).
It is generally accepted that this is very hard to achieve, and it remains somewhat theoretical.
Predominantly dark colours, jewel tones and a bit of white, influenced by both medieval Gothic Architecture and western Gothic subculture. Often has elements such as bats, crosses, coffins, roses and cathedrals. It can go from mostly elegant to very creepy.
From the word "grotesque", this style tries to depict a broken, ill or hurt "doll". Associated with white dresses (sometimes with a hospital theme) covered in fake blood, and the use of eye patches.
This style isn't as popular for everyday wear anymore.
Meaning "princess", includes elements such as small crowns/tiaras, pearls and gemstones. The dresses are made to look like fairy tale princess dresses or historical and royalty-inspired. Sometimes influenced by Japanese Hime-Gyaru fashion.
This style is rarely seen anymore.
In Japan, coordinates that are completely one color are called "color"-lolita. The most popular and recognized in the West are Kuro and Shiro (black and white, respectively), but you can also find Pinku (pink), Mizuiro/Sax (blue), et cetera.
The actual style of the outfit doesn't matter, just the color.
Used to describe outfits that were popular before the more recent colorful wigs and over-the-top accessories. Includes accessories that are now considered out-of-date, such as rectangular headdresses, and dark, bulky shoes.
From "otaku", used to describe someone who only knows Lolita from anime/manga and dresses as such, without fully comprehending the aesthetics of the fashion.
♦ OTT-Sweet (Kote)
A very popular style nowadays, it means "over-the-top": very sweet prints in a myriad of pastel tones, candy-colored fluffy wigs, many hair accessories. Might share characteristics with other Japanese fashions such as Decora, Spank, Pop and Fairy-kei.
A cross between Lolita and Punk fashion, a balance hard to achieve. Plaid is a popular print, also distressed and not-commonly-seen-in-lolita fabrics, and punk accessories or details.
This style is considered one of the "big four", but is not seen as much anymore.
Based on traditional Chinese clothing, specifically the qipao/cheongsam/mandarin gown, but modified to suit the Lolita shape and aesthetics.
A very rare and hard to achieve look.
Inspired by sailor uniforms, common colors are white, navy blue, black and red, with horizontal stripes and sometimes ocean or boat themed prints.
This might be considered a theme instead of a sub-style, but it is quite popular.
One of the most "childish" styles, has a wide variety of colors from black (sometimes called Bittersweet) to white with special mention to all pastels, and a wide variety of prints, from ditsy flowers to toys to cupcakes. Most of the sub-sub-styles stemmed from Sweet (OTT, Bittersweet, Hime, Deco...).
Based on traditional Japanese clothing, kimono, yukata and hakama, but modified to suit the Lolita shape and aesthetics.
A rare and hard to achieve look, maybe not as rare in Japan.
Lolita might also be combined with other fashions such as Steampunk, Dolly and Fairy-kei, Mori Girl, Gyaru and Cybergoth, but these are relatively rare occurrences that, at this time, I believe it is unnecessary to give the their own entries.
Apart from sub-styles, there are also common "themes" that are worn in Lolita. This means they can be any sub-style, but the elements and overall look are worked around a theme, i.e. you can have a Gothic Alice-themed outfit or a Sweet Alice-themed outfit. These include:
Alice in Wonderland and Through the Looking Glass is a very much loved theme in Lolita, both in prints and in the shape of dresses that mimic the one worn by the main character, particularly in the Disney animated movie.
Sometimes people like to express their love for a certain series through their clothes, and Lolita is no exception. Usually there will be a print that relates to the show and a few accessories that imitate the ones worn by the characters in it.
Inspired by french maids, generally a dark-colored dress with a white pinafore or apron and a headdress or bonnet. Sometimes a Sweet version, with light colors, might resemble more a retro waitress rather than a maid. Most people are cautious with this theme as it might resemble a costume.
Inspired by the straight lines and strong shapes found in military uniforms, often has dark, green and khaki colors, tassels, medals, metal buttons and camouflage prints.
Based on nurse uniforms, mostly white dresses with red accents and square crosses. The nurse cap is a common hair accessory. Often paired with the Guro sub-style.
Tricorns, boots, vests and bustle skirts are common in pirate-themed Lolita, sometimes even with props to help give the look of a sea dweller.
This look is achieved through pleated skirts, vests, blazers with emblems, book satchels and other elements usually associated with school uniforms.