Split lentils are lentils with the husks removed, and are the "normal" type of lentil that one sees. They require a slightly shorter cooking time than whole lentils. Note that in most cases, red split lentils are the "split" version of brown lentils... i.e., brown lentils are red lentils with the husks still on.
Whole lentils are lentils that still have their husks on. The husks are high in fibre, and as such, whole lentils are considered more healthy than split lentils. This being said, all lentils are pretty healthy, with high amounts of protein and very low amounts of fat. Whole lentils need a slightly longer cooking time than split lentils: typically around half an hour.