Pillars are solid blocks of a single material designed to be an architectural highlight in addition to (or in some cases, instead of) supporting weight.

Columns are put together for the purpose and may be made out of multiple materials. Poured concrete and steel are common. They are always part of the load bearing structure and frequently hidden or disguised so as not to attract attention.

*Edit*
Come to think of it... that's probably just how I use them. I can think of plenty of examples where their use is switched from what I wrote above. There's probably some regionalistic basis for which is used, or used for what most, frequently but the truth is that they're more or less interchangeable.

-Fooglmog
Guy with no clue.