Sure. A 9x service means one thing, when you click the "log off" button to log off the given username, the program continues to run, and when you log back in, the program is still there. Personally though, I used Win9x for maybe 5-6 years, and I never once used the log off feature, and I don't know of many people that do. Pretty much it's not really a commonly used feature, Microsoft barely even mentions that the feature exists.

The NT service is much more complex. Most NT services run in the background; they have no user interaction. They start when Windows starts (unless configured not to). A service can allow user interaction, although Microsoft says it can lead to problems because thats not really what it was designed for. Some examples of services would be any kind of server software, IIS for example. Usually, by making a program run as a service it becomes faster and more stable. This is because there is no code running each time the mouse moves, or each time you type a letter, or anything like that, and usually it is more stable simply because interface coding gets really ugly and it can lead to errors.