Self-relationship: When an object has a lookup with itself, it is a self-relationship. A self-relationship creates a tree diagram of the objects. For example, the account has a lookup on himself, called Parent Account. On the user object a special self-relationship called the hierarchical relationship helps create superior roles such as supervisor, manager on user object. The hierarchical relationship is a self-relationship of the user object.
Hierarchical relationship: This type of relationship is a special lookup relationship available only for the user object. It allows users to use a lookup field to associate one user with another that does not directly or indirectly refer to itself. For example, you can create a custom hierarchical relationship field to store each user's direct manager.