Pentium 4 is just like your Pentium 4 you would find in a desktop system. The advantage is that you get higher speeds and they are a little cheaper (£/Ghz). The disadvantage is that they generate a lot of heat, and suck your battery dry. Laptops with this processor are generally larger and are frequently in "desktop replacement" laptops.
Pentium M is a Pentium that has been optimized for laptops (it is still technically a Pentium4). The advantage is that they use less battery, generate less heat. The disadvantage is that they are a little slower and are a little pricier (£/Ghz). You usually find them in smaller laptops like "thin & light" or "ultraportables"