Lapilli is the plural form of lapillus; rarely used in English, it's Latin for 'small stone'. Both lapillus, and more frequently, lapilli, are used by geologists and volcanologists to refer to the small (2 to 64mm in diameter) bits of rock and magma blasted out of volcanoes.
Small bits of magma are called juvenile lapilli; these may form Pele's tears if they harden in the air, or splatter if they hit the ground before cooling. Juvenile lapilli also includes cinders, scoria, pumice, and reticulite.
Accidental lapilli are just small stones and gravel that are blasted into the air when the volcano errupts. They are not always volcanic materials, although they may be left over from an older eruption (in which case they may be called accessory lapilli). They are often blown into the air when water enters a volcanic vent, and the steam expands explosivly.
Accretionary lapilli are small spherical balls formed when ash clumps together -- perhaps due to moisture in the air (especially when a cloud of ash intersects with rain or hail), or because of electrostatic attraction. Pompeii was buried under four meters of accretionary lapilli before the pyroclastic flow (an violent flow of volcanic gases and tephra) razed the town. Accretionary lapilli are often a major aspect of ashfalls, as ash can stay in the air a long time and may not come down until it clumps into heavier particles.
Thanks to DylanDog for guiding me to Pompeii as an impressive example of lapilli, and Albert Herring for his help with the etymology.