Knee High
Knee high compression socks stop below the bend of your knee, just past the curvature of your calf. Though some compression socks or stockings are stretchy enough to pull up over your knee, please do not do so. Pulling your knee highs over your knee might cause them to roll or slide down, which is uncomfortable and sometimes dangerous depending on your condition and the compression you're wearing.
Thigh High
Thigh high compression stockings cover your entire leg, stopping at the top of your thigh, below the fold of the buttock. Thigh high compression stockings are made to cover your entire thigh because it is intended to improve circulation throughout your entire leg.
Waist High
Waist high (pantyhose, maternity pantyhose & Men's leotard) compression stockings have both legs connected by a torso portion. Waist high compression stockings are able to bring swelling up and out of your legs through your hips. This is a key distinction between waist high and thigh high compression stockings. For women, maternity (or plus size) pantyhose have a highly expandable belly portion.
Which one do I pick?
So how do I know which one to pick? The general rule of thumb is to ask yourself where the affected area is on your legs. If you have swelling only in your ankles, a knee high sock may be sufficient. If you have swelling on or above the knee, consider a thigh high or waist high compression stocking.