The Unfinished Tales is a book of material that didn't make sense to put into the Silmarillion. The latter book is essentially a long history of Middle Earth, whereas the first book (reviewed here) is not quite completed stories that could have stood on their own had they been completed, much like The Hobbit.

The Lost Tales are essentially the first draft of the Silmarillion - you can tell that a lot of Tolkien's ideas are in a nascent stage because the first chapter even has something about elves being tiny, if I remember. It's the first form of the stories of the trees and the jewels, and Melko(r) and Ungoliant, and the departure from the Undying Lands, and the kinslaying at Aquilonde, and the elves in Middle Earth fighting the evil of Melko(r)/Morgoth.

EDIT: I checked my Unfinished Tales and see that some of the pieces were informational essays that more closely resemble the appendices to The Return of the King.