Technically... cogs are the teeth on a sprocket or gear. But the word also means "cogwheel".
A cogwheel is... basically any wheel with teeth (cogs).
A gear is a wheel with cogs that mesh with the gears of another wheel.
A sprocket is a wheel with cogs that mesh with a chain (or belt or tape or film or whatever). Just like a pulley, but with teeth that mesh somehow.
A typical bicycle doesn't have any gears on it, just cogwheels that are sprockets.
On the site: I think "sprocket", "cog" and "gear" are all used to mean the same thing and merging those tags would make sense.
UPDATE: cog is now merged into sprocket (with synonym).