What is the difference between Live Agent and Embedded Service/Snap-Ins?

Embedded Service chat (formerly known as snap-in).
Live Agent
Live Agent connects customers with your support agents through web-based chat.
In order to browse the website when they are chatting with the agent, they have to minimize the chat window. But, in embedded service, chat stays on the same window even when they navigate and browse the website.

Embedded Service/Snap-Ins
This uses Live Agent but, with a simpler setup.
Lightning Experience must be enabled to set up Embedded Service.
Users can get answers to their questions by chatting with an agent while browsing the site.
After you’ve set up Chat and Omni-Channel to work together in Lightning Experience, give your customers a better chat experience with Embedded Service and Einstein Bots. Embedded Service lets you create a pre-chat form and custom branding with little to no code. Embed the chat window on your website and both your desktop and mobile customers can have the same chat experience. Einstein Bots lets you connect customers to an automated chat bot to answer questions and solve straightforward issues.