Not much, if anything. There is surely regional variation in terms used.
I would generally call something you make a sandwich on a "bun." So you have sandwich buns and hamburger buns and hot dog buns.
Something served with dinner that you put butter on and eat alongside your meal I would call a "roll."
That said, if I make sausages, I put them on a "sausage roll." So it's not an absolute rule.