Mustard seeds come in three varieties: yellow, brown, and black. Yellow mustard seeds (also called white mustard seeds since the sandy color can go either way) are used primarily in Europe and western Asia, whereas brown and black are used in India and the countries surrounding it.
Flavor-wise they all differ greatly. Yellow seeds are mellow with less pungency, and have an initial floral sweetness to them. Brown seeds are a bit horseradish-y with an earthy flavor (though sometimes possess enough heat to burn down a barn). Black seeds are particularly pungent and hot, the impact of biting into one is enough to bring about a nuclear winter.