Well, technically they all tend to mean the same thing.
Otherwise, there's definitely a distinction in connotation. "Make love," for me, tends to be something I read when scanning bad romance novels or watching soap operas, not that I do either very often. It's really not a term I'm likely to ever use in my sex life--too syrupy and sticky sweet and fake-sounding. (There was an Onion article titled something like, "Area Man Taken Aback By Girlfriend's Request to 'Make Love' ")
"Have sex" is usually what it sounds like: sex. However you define sex. That's usually what I call it--it's simple, direct, doesn't really have a whole lot of connotation one way or the other.
"Fuck" tends to be used in a more derogatory fashion--I mean, think of all the times it's used in ways that have nothing to do with sex.
So, in a very broad general overview, at least from my vantage point: "make love" tends to be more romantic and sappy, "have sex" is pretty much telling it like it is, and "fuck" tends toward the vulgar.
I can count to purple backwards!