To further expand on Tom Griffin's post, the letters also refer to the power consumption figures of the CPUs in question. Note that the numbers associated with the letters are for the "Nehalem"-based Xeon family and older Xeons that use the letter designations have different TDP values associated with the letters.
L = Thermal design power (expected power draw with a 100% CPU load running normal software) of 60 watts or less. These are the "low voltage" chips.
E = TDP of 80 watts. Intel refers to the Xeon 5500/5600s with this letter prefix as the "basic" line and as a result, the idle power draw on these chips is frequently worse than any of the other series of chips, despite the other chips possibly having a higher full-load power draw.
X = TDP of 95 watts. These are the "premium" mainstream chips as their TDP is not so excessive that they are difficult to cool in a rack server, yet their idle power consumption is far lower than the E-series chips.
W = TDP of 130 watts and higher. These are the fastest, hottest Xeons made and they are designed to be used in workstations and pedestal servers with better cooling than an average 1U or 2U rack server.