Both are parts of the US Department of State, and both are located exclusively in other countries. Embassies deal with foreign governments, while consulates provide services to individuals and businesses. That means that you will almost never deal with an embassy, only with a consulate. Embassies are almost always located near the foreign seat of government, while consulates are typically located in population centers. For instance, in Germany, the embassy is located in Berlin, while the main consulate is in Frankfurt (there also is a consulate in Berlin, as well as several other cities).