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This article explains the usage, history and connotations of these two terms, and some others.
Linguistically speaking, 'Castilian' means ' Spanish', as it is the mediaeval Castilian language that spread across Spain and became the national language known virtually always as 'Spanish', in English. But in Spanish itself, the term castellano (Castilian) is often used to refer to the language, at the expense of the term español (Spanish). It seems that awareness of the term 'Castilian' is growing in English, and even more so in French.
To understand how two terms can refer to the same language, imagine that the English language was sometimes called 'English' after the historical national whose language it is, but also sometimes 'British' after the modern state of which it is the official language. Imagine then that Britain had an empire of colonies in the Americas. How would they then refer to the language? What about the speakers of Welsh and other non-English languages spoken in Britain? This is almost exactly the situation with Spain and its historical heart, Castile.
(For general discussion of the history and linguistic characteristics of the Castilian language, see Spanish language)
Spaniards tend to call their language español (Spanish) when contrasting it to other national languages (e.g. in a list such as francés, inglés, chino y español) but castellano (Castilian) when contrasting it with regional languages (e.g. gallego, vasco, catalán y castellano or as in the Spanish Constitution of 1978).
The official Real Academia Española used castellano from the 18th century, but from 1923 its dictionary and grammar are de la lengua española. However, the Academy's use of one term or the other should not be taken to be a condemnation of the other.
In the bilingual regions where such languages are spoken, there is obviously a daily need to make this contrast, and so the language is most often referred to as Castilian, particularly in the regional languages themselves (e.g. espanyol is virtually never used to refer to the Spanish language in Catalan: castellà is used instead.) This usage is often mirrored by English-speakers when referring to the linguistic situation in Spain.
For some, this use of the term castellano or Castilian is a political or cultural statement that Castilian is only the language of Castile and perhaps some areas that Castile colonised, but not the language of their region, where they consider the only legitimate language to be the regional one, i.e. Catalan, Basque, etc. This is a common belief in regionalist circles, which represent a very large, very vocal minority in Spain.
Otherwise, in nationalist circles, they use more Spanish than Castilian. It's also a political use, implying that they are not Spaniards, as is not their language. Usually a Catalan regionalist will say that Spanish is castellà and a Catalan nationalist will answer, not, it is espanyol. Once you have assumed Catalan is your language, you can assume Spain is or is not your country. Catalan regionalists consider Spain their country, so they consider themselves Spaniards and cannot call the Spanish language espanyol, but castellà. On the other side, Catalan nationalists consider themselves Catalans, not Spaniards, so they don't mind about Spain and call the language by its name, espanyol.
In monolingual regions of Spain, the implications are a little different. There, inhabitants do not have anything to prove, but still they must choose one of the two terms. Castilians themselves usually use the term español, thus legitimately presenting it as the national language (the Spanish constitution declares that all Spaniards have 'the right to speak Spanish/Castilian and the duty to know it'). However, they also frequently call it castellano, thus implying it is their special language that the rest of Spain is just borrowing, if you will. Alternatively, they may of course use the term in order to distinguish between Castilian and the regional languages.
Outside of Castile, there are other regions of Spain that are monolingual (i.e. they only speak Spanish/Castilian); for example, Cantabria or Andalusia. In these areas, español may be used as in Castile to stress the national nature of the language, with a slightly different nuance: they are accepting another region's historical language as their national language, rather than asserting their own as one. The terms have otherwise much the same significance as in Castile.
The term castellano is occasionally used to imply more of a standard form than español does. For example, if someone mispronounces a word, they might be told ¡habla castellano!, i.e. 'Speak Castilian!', 'Speak properly!'. However, this nuance is not to be exaggerated, as it is perfectly possible that the term español or even cristiano ('Christian') could be used instead. Moreover, the term castellano is also commonly and correctly used to refer to dialects of Spanish that deviate dramatically from the standard.
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