Statefull:
The client connects to the server, conducts a series of operations via that conneciton, and then disconnects.Then server can associate all of the requests together and knows that thy all came from the same user.
Stateless:
A stateless server is a server that treats each request as an independent transaction that is unrelated to any previous request.
The difference is in the nature of the connection they define between a client and a server.
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Google (!!):
http://qna.rediff.com/questions-and-answers/what-is-a-statefull-and-stateless-protocol/2908836/answers