All examples begin on C, and are usually in either in C major or C minor. Recall that C Major has no flats and no sharps in its key signature, and C minor has 3 flats (Bb, Eb and Ab). Because this post uses lots of examples, it may take a while to load. Please be patient.
I have not used any key signatures to make things simpler.
Note than an 'arpeggio' is the same as a 'chord', only with the notes played in succession rather than simultaneously (usually starting at the bottom and ascending).
Unless otherwise stated, the notes of a scale or arpeggio descending is the same as the notes ascending (although, obviously you play them backwards).
Note, with most chords, (when in root position) an octave above the root (the 8th) is usually added at the top, although it does not have to be. (Sometimes another note or notes may be doubled an octave higher instead or as well).
For a more basic introduction to the concept of major and minor scales, see my Introduction to Music Theory.
The Major Scale
This is series of 7 different notes. From the bottom upwards, they have the pattern of intervals: Tone, Tone, Semitone, Tone, Tone, Tone, Semitone. The scale is named after the note it starts on (the 'tonic').
Example: The C Major Scale:

The Major Arpeggio/Chord
This consists of the 1st, 3rd, and 5th notes of the major scale, usually with the 8th (octave) added on top. An upper-case 'M' is sometimes used to denote a Major chord.
Example: The C Major Arpeggio/Chord:

The Natural Minor Scale
This is series of 7 different notes. From the bottom upwards, they have the pattern of intervals: Tone, Semitone, Tone, Tone, Semitone, Tone, Tone. The scale is named after the note it starts on (the 'tonic').
Example: The C Natural Minor Scale:

The Harmonic Minor Scale
This is identical to the Natural Minor, except the 7th note of the scale is raised by one semitone. Thus the pattern becomes: Tone, Semitone, Tone, Tone, Semitone, Tone+Semitone, Semitone.
Example: The C Harmonic Minor Scale:

The Melodic Minor Scale
This is identical to the Natural Minor, except the 6th and 7th notes of the scale are both raised by one semitone when ascending, but not when descending. (So, descending, the scale is exactly the same as the Natural Minor). The ascending pattern of intervals is: Tone, Semitone, Tone, Tone, Tone, Tone, Semitone.
Example: The C Melodic Minor Scale:

The Minor Arpeggio/Chord
This consists of the 1st, 3rd, and 5th notes of the minor scale, usually with the 8th (octave) added on top. A lower-case 'm', a '-' sign or 'min' is sometimes used to denote a minor chord. (Note, as no 6ths or 7ths are involved, the chord is identical in whatever version of the minor scale you're using).
Example: The C Minor Arpeggio/Chord

Major Sixth Chords
This is a Major chord with an 'added sixth'. So, it consists of the 1st, 3rd, 5th, 6th (and 8th) notes of the Major scale. The common symbol is '6', or sometimes 'M6' or 'maj6'.
Example: C Major Sixth Chord:

Minor Sixth Chords
This is a minor chord with an added sixth. Note however, the word 'minor' refers to the 3rd, not the 6th. The 6th is actually a MAJOR 6th. So, it consists of the 1st, flattened 3rd, 5th, 6th (and 8th) notes of the Major scale (or the 1st, 3rd, 5th and sharpened 6th of the minor scale). The common symbol is '-6', or sometimes 'm6' or 'min6'.
Example: C Minor Sixth Chord:

The Dominant Seventh Chord
This is the Major arpeggio/chord with an added minor 7th. It's called a dominant seventh, because it is the dominant (5th) chord of the major key a 5th below it (for example, C Dominant Seventh is actually V in F major). So, it consists of the 1st, 3rd, 5th, flattened 7th, (and 8th) notes of the major scale. The common symbol is '7'.
Example: The Dominant Seventh on C:

The Major Seventh Chord
This is the Major arpeggio/chord with an added (major) 7th. It consists of the 1st, 3rd, 5th, 7th, (and 8th) notes of the major scale. The common symbol is '?', 'M7', or 'maj7'.
Example: The C Major Seventh Chord

The Minor Seventh Chord
This is the minor arpeggio/chord with an added minor 7th. It consists of the 1st, 3rd, 5th, 7th, (and 8th) notes of the Natural Minor scale. The common symbol is '-7', 'm7' or 'min7'.
Example: The C Minor Seventh Chord

The Diminished Seventh Chord
This chord has four different notes in it, and there is a minor 3rd (3 semitones) between each note. (Note though, that there are times when one or more of the notes have to be notated enharmonically, meaning although the interval will always be 3 semitones, it may not technically be a minor 3rd). There are only 3 different diminished 7ths possible before you start repeating one in a different inversion. It consists of the 1st, flattened 3rd, flattened 5th, and double-flattened 7th (or enharmonically, the 6th) notes of the major scale. (or the 1st, 3rd, flattened 5th and flattened 7th notes of the Natural Minor scale). The common symbol is '°' or 'dim7'.
Example The Diminished Seventh on C:

The Half Diminished (Seventh) Chord
Sometimes just called a 'Half Diminished' chord. This consists of the first 3 notes of a diminished seventh, with the 4th note raised a semitone to become the minor 7th. So, it consists of the 1st, flattened 3rd, flattened 5th, flattened 7th (and 8th) or the Major scale. (Or, the 1st, 3rd, flattened 5th, 7th (and 8th) or the Natural Minor scale). The common symbol is 'ø', or 'm7(b5)'.
Example: The Half Diminished (Seventh) Chord on C:

The Augmented Seventh Chord
This chord consists of the 1st, 3rd, sharpened 5th, flattened 7th (and 8th) notes of the Major scale. The common symbol is '7+', or '7(#5)'.
Example: The Augmented Seventh on C:

Note, at this point, you should note the differences between the various 'seventh' chords.
Dominant 9th, 11th and 13th Chords
This is a Dominant 7th Chord, with an added 9th, 11th and/or 13th (i.e., the 2nd, 4th and 6th notes in the second octave). The common symbols are '9', '11' and '13'.
Example: Dominant 13 Chord on C:

The Minor 9th Chord
This is a minor seventh chord with an added (major) 9th. It therefore consists of the 1st, 3rd, 5th, 7th and 9th notes of the Natural Minor scale. The common symbol is '-9' or 'm9' or 'min9'.
Example: The C Minor 9th Chord:

Chromatic Scale
This scale consists of every single note, moving up entirely in Semitones (various enharmonic spellings are possible). There is only one chromatic scale, but it may start on any note.
Example: The Chromatic Scale on C:

Whole-Tone Scale
This scale moves up entirely in Tones. They consist of the 1st, 2nd, 3rd, sharpened 4th, sharpened 5th, sharpened 6th, (and 8th) of the Major scale. There are only 2 whole-tone scales before you repeat one in inversion.
Example: The Whole-Tone Scale on C:

Diminished Scale
This scale is made up of alternate Tones and Semitones (usually in that order, but occasionally Semitone/Tone is used) Every other note forms the notes of a diminished seventh chord. It therefore consists of the 1st, 2nd, flattened 3rd, 4th, sharpened 4th, sharpened 5th, 6th, 7th and 8th notes of the major scale. (Enharmonic spellings are possible).
Example: The Diminished Scale on C:

The Augmented Chord
This consists of the 1st, 3rd, sharpened 5th, (and 8th) notes of the the Major scale. You could also think of it as a chord of the Whole-Tone Scale. There are only 4 augmented chords before you repeat one in inversion. The common symbol is '+' or 'aug'.
Example: The Augmented Chord on C:

The (Major) Pentatonic Scale
This is a five-note scale consisting of the 1st, 2nd, 3rd, 5th, 6th (and 8th) notes of the Major scale.
Example: C Pentatonic:

The Minor Pentatonic Scale
This is a five-note scale consisting of the 1st, 3rd, 4th, 5th, 7th (and 8th) notes of the Natural Minor scale. (It is the fifth mode of the relative major pentatonic).
Example: C Minor Pentatonic:

The Blues Scale
This is a Minor Seventh Chord with an added 4th and sharpened 4th. It therefore consists of the 1st, flattened 3rd, 4th, sharpened 4th, 5th, flattened 7th, (and 8th) of the Major scale. (Or, 1st, 3rd, 4th, sharpened 4th, 5th, 7th, (and 8th) notes of the Natural Minor scale).
Example: The Blues Scale on C:

The Suspended 4th Chord
This is the 1st, 4th, 5th (and 8th) notes of the Major Scale. The common symbol is 'sus4'.
Example: C Suspended 4th Chord

MODES
There is a different mode starting on each degree on the major scale.
Ionian Mode
This is the mode on the 1st degree of the major scale. Eg. all the white-notes on the piano starting on C. It is identical to the ordinary Major Scale. Pattern of intervals: Tone, Tone, Semitone, Tone, Tone, Tone, Semitone.
Dorian Mode
This is the mode on the 2nd degree of the major scale. Eg. all the white-notes on the piano starting on D. It is therefore a natural minor scale with sharpened 6th (or a major scale with flattened 3rd and flattened 7th). Pattern of intervals: Tone, Semitone, Tone, Tone, Tone, Semitone, Tone.
Example: The Dorian mode on C:

Phrygian Mode
This is the mode on the 3rd degree of the major scale. Eg. all the white-notes on the piano starting on E. It is therefore a natural minor scale with flattened 2nd (or a major scale with flattened 2nd, flattened 3rd, flattened 6th and flattened 7th). Pattern of intervals: Semitone, Tone, Tone, Tone, Semitone, Tone, Tone.
Example: The Phrygian Mode on C:

Lydian Mode
This is the mode on the 4th degree of the major scale. Eg. all the white-notes on the piano starting on F. It is therefore a major scale with sharpened 4th (or a natural minor scale with sharpened 3rd, sharpened 4th, sharpened 6th and sharpened 7th). Pattern of intervals: Tone, Tone, Tone, Semitone, Tone, Tone, Semitone.
Example: The Lydian Mode on C:

Mixolydian Mode
This is the mode on the 5th degree of the major scale. Eg. all the white-notes on the piano starting on G. It is therefore a major scale with flattened 7th (or a natural minor scale with sharpened 3rd and sharpened 6th). Pattern of intervals: Tone, Tone, Semitone, Tone, Tone, Semitone, Tone.
Example: The Mixolydian Mode on C:

Aeolian Mode
This is the mode on the 6th degree of the major scale. Eg. all the white-notes on the piano starting on A. It is therefore the same as the natural minor scale (or a major scale with flattened 3rd, flattened 6th and flattened 7th). Pattern of intervals: Tone, Semitone, Tone, Tone, Semitone, Tone, Tone.
Example: The Aeolian Mode on C:

Locrian Mode
This is the mode on the 7th degree of the major scale. Eg. all the white-notes on the piano starting on B. It is therefore a natural minor scale with flattened 2nd and flattened 5th (or a major scale with flattened 2nd, flattened 3rd, flattened 5th, flattened 6th and flattened 7th). Pattern of intervals: Semitone, Tone, Tone, Semitone, Tone, Tone, Tone.
Example: The Locrian Mode on C:

Modes of the Ascending Melodic Minor:
Jazz Minor
Also called Dorian #7, Ionian b3, The Ascending Melodic Minor, the Minor-Major scale, and the Hawaiian scale.
This is the natural minor scale with sharpened 6th and sharpened 7th. Pattern of intervals: Tone, Semitone, Tone, Tone, Tone, Tone, Semitone.

Dorian b2
Also called Phrygian #6, Jazz Minor Inverse, and Phrygian-Mixolydian.
This is the mode on the second degree of the Jazz Minor. It is therefore a natural minor scale with flattened 2nd and sharpened 6th. Pattern of intervals: Semitone, Tone, Tone, Tone, Tone, Semitone, Tone.

Lydian Augmented
Also called Lydian #5.
This is the mode on the third degree of the Jazz Minor. It is therefore a major scale with sharpened 4th and sharpened 5th. Pattern of intervals: Tone, Tone, Tone, Tone, Semitone, Tone, Semitone.

Lydian Dominant
Also called Mixolydian #4, Lydian b7, Acoustic scale, Overtone scale, Lydian-Mixolydian, and the Bartok scale.
This is the mode on the fourth degree of the Jazz Minor. It is therefore a major scale with sharpened 4th and flattened 7th. Pattern of intervals: Tone, Tone, Tone, Semitone, Tone, Semitone, Tone.

Mixolydian b6
Also called Aeolian #3, the Hindu scale, Mischung 6, and the Major-Minor scale.
This is the mode on the fifth degree of the Jazz Minor. It is therefore a major scale with flattened 6th and flattened 7th. Pattern of intervals: Tone, Tone, Semitone, Tone, Semitone, Tone, Tone.

Locrian #2
Also called Aeolian b5, the Half Diminished scale, Minor Locrian and Minor b5.
This is the mode on the sixth degree of the Jazz Minor. It is therefore a natural minor scale with flattened 5th. Pattern of intervals: Tone, Semitone, Tone, Semitone, Tone, Tone, Tone.

Super Locrian
Also called the Altered scale, the Diminished Whole Tone scale, Locrian b4, the Pomeroy scale and the Ravel scale.
This is the mode on the seventh degree of the Jazz Minor. It is therefore a natural minor scale with flattened 2nd, flattened 4th and flattened 5th. Pattern of intervals: Semitone, Tone, Semitone, Tone, Tone, Tone, Tone.


