Crossbows fire a greater distance than bows and some bolts do more damage than arrows. The order the bolts fire in is; Obsidian, Diamond, Glass, Blaze, TNT, Iron, Stone, Gold, Wooden. Blaze bolts light mobs on fire. Lava bolts (Created by the Lava Crossbow) light everything on fire. TNT bolts just explode and glass bolts shatter on impact but do more damage. V2.1 introduced three more "elemental" crossbows. There is also an Ultimate Crossbow that is crafted out of the elemental crossbows and a few other ingredients.
Minecraft Forums thread: Crossbows by Princeofmar5