The terms "hex wrench" and "Allen wrench" refer to the same tool: an L-shaped hexagonal device designed to fit and drive bolts and screws that have a hexagonal socket in their heads.
The indented portion of the hexagonal socket in a bolt is less susceptible to wear and damage, and such a fastener can be turned with less force than a conventional, six-sided nut or bolt.
The hex, or Allen wrench, also known as the hex or Allen key, is designed to be used with a driver, attached to the longer portion of the L-shape of the tool, to maximize leverage. The driver can also be used on the shorter end to maximize torque.
Automotive fasteners are often hex or Allen style. Because of their usefulness where high torque is needed, and their greater resistance to wear and damage, they are often used to secure coolant and other fluid lines. For similar reasons, hex/Allen fasteners are often used in plumbing, wiring and electrical applications.
An inexpensive set of hex/Allen wrenches will range from 7-millimeter to about 22-millimeter, or 1/4-inch to 3/4-inch. It is important not to use a metric set where an SAE set is needed and vice versa.
There are tools available that feature a series of several different sizes of hex keys, arranged in much the same way as a Swiss Army knife. These are, however, keys -- a straight, rather than L-shaped tool -- not wrenches, and you cannot exert as much force with them.