Types of algorithms:

Monte Carlo algorithms
may return an answer that is not correct.
Example: primality testing
Subtypes: one-sided vs. two-sided errors

Las Vegas algorithms
may not return an answer at all, but if they do the answer is guaranteed to be correct.
Example: factoring

Sherwood algorithms
always give the correct answer. (Sometimes also called Las Vegas.)
Example: Quicksort

Complexity classes:

Randomized Polynomial time (RP):
A language is in RP if there is a polynomial-time (Monte Carlo) algorithm that never accepts words that are not in the language, and has probability at least 1/2 of accepting words in the language

Zero-error Probabilistic Polynomial (ZPP)
Like RP, except the algorithm is Sherwood, so it always accepts if the word is in the language

Bounded-error Probabilistic Polynomial (BPP)
Like RP, except that the algorithm has probability at least 3/4 of accepting if the word is in the language, and probability at most 1/4 of accepting if the word is not in the language.

References:

Algorithmics, by Gilles Brassard and Paul Bratley, Prentice Hall, 1988
Randomized Algorithms, by Rajeev Motwani and Prabhakar Raghavan, Cambridge University Press, 1995