I recommend you take a look at Martin Fowler's article Mocks Aren't Stubs for a more authoritative treatment of Mocks than I can give you.
The purpose of mocks is to unit test your code in isolation of dependencies so you can truly test a piece of code at the "unit" level. The code under test is the real deal, and every other piece of code it relies on (via parameters or dependency injection, etc) is a "Mock" (an empty implementation that always returns expected values when one of its methods is called.)
Mocks may seem tedious at first, but they make Unit Testing far easier and more robust once you get the hang of using them. Most languages have Mock libraries which make mocking relatively trivial. If you are using Java, I'll recommend my personal favorite: EasyMock.
Let me finish with this thought: you need integration tests too, but having a good volume of unit tests helps you find out which component contains a bug, when one exists.
You can get some information :
Fake objects actually have working implementations, but usually take some shortcut which makes them not suitable for production
Stubs provide canned answers to calls made during the test, usually not responding at all to anything outside what's programmed in for the test. Stubs may also record information about calls, such as an email gateway stub that remembers the messages it 'sent', or maybe only how many messages it 'sent'.
Mocks are what we are talking about here: objects pre-programmed with expectations which form a specification of the calls they are expected to receive.
Fake: We acquire or build a very lightweight implementation of the same functionality as provided by a component that the SUT depends on and instruct the SUT to use it instead of the real.
Stub : This implementation is configured to respond to calls from the SUT with the values (or exceptions) that will exercise the Untested Code (see Production Bugs on page X) within the SUT. A key indication for using a Test Stub is having Untested Code caused by the inability to control the indirect inputs of the SUT
Mock Object that implements the same interface as an object on which the SUT (System Under Test) depends. We can use a Mock Object as an observation point when we need to do Behavior Verification to avoid having an Untested Requirement (see Production Bugs on page X) caused by an inability to observe side-effects of invoking methods on the SUT.
Personally
I try to simplify by using : Mock and Stub. I use Mock when it's an object that returns a value that is set to the tested class. I use Stub to mimic an Interface or Abstract class to be tested. In fact, it doesn't really matter what you call it, they are all classes that aren't used in production, and are used as utility classes for testing.
Best Answer
As the mantra goes 'Go with the simplest thing that can possibly work.'
Avoid using mocks always because they make tests brittle. Your tests now have intricate knowledge of the methods called by the implementation, if the mocked interface or your implementation changes... your tests break. This is bad coz you'll spend additional time getting your tests to run instead of just getting your SUT to run. Tests should not be inappropriately intimate with the implementation.
So use your best judgment.. I prefer mocks when it'll help save me writing-updating a fake class with n>>3 methods.
Update Epilogue/Deliberation:
(Thanks to Toran Billups for example of a mockist test. See below)
Hi Doug, Well I think we've transcended into another holy war - Classic TDDers vs Mockist TDDers. I think I'm belong to the former.