Dysthymia is a depressive disorder but not as intense as major depressive order. Here a person experiences feelings of hopelessness, low self esteem and irritability in addition to sleep disorders, fatigue and eating disorders for a part of the day but not constantly. In major depressive order however a very low mood is present throughout the day for extended periods of time in everything that the patient does. This also makes the patient committing suicide very likely.
Cyclothymia again is a milder form of bipolar disorder, though both are in the same family. The patient with cyclothymia has phases of extreme euphoria, optimism, aggression, agitation, risk taking, etc. followed by periods of very low esteem, pessimism, social withdrawal, etc. The same symptoms in an extreme case would qualify to be diagnosed as bipolar disorder.