Loose chalk
Loose chalk is a magnesium carbonate that comes in plastic bags and can be poured into chalk bags. These are typically resealable bags.
Chalk balls
Chalk balls are small, knit balls (either sewn or refillable with drawstrings) that control the amount of chalk you pull out of your chalk bag. Sometimes, if your chalk bag is tight, you will pull out more than you planned. Also, chalk balls ensure you won't lose all your chalk if you sit on your chalk bag or it turns upside down in the wind.
Chalk blocks
Chalk blocks are the least expensive form of chalk you can buy (because there is little packaging associated with the product). They are typically wrapped in paper packaging, and chunks can be broken off and placed into your chalk bag.