SACD stand for Super Audio Compact Disc and is a proprietary disc format developed by Sony in the late 90's. http://sa-cd.net/ is a great reference site for information. There are currently about 8000 titles released in the SACD format. The SACD disc looks like a CD but is a 'container' that holds the DSD audio which is one bit and 2.8 million parts per second. This compares to a CD which is a 'container' that holds PCM audio which is 44,100 samples per second and 16 bits.
SACDs are only playable on players that have the SACD logo. SACDs can have 2 layers of information--both the CD red book and the DSD audio. The DSD layer can hold both stereo and upto 6 channels of multi-track (surround) audio. Not every record label chose to use the CD layer in the SACD release, most notably Sony Music. Those discs will not be audible in a CD only player.
If you have a CD player and purchased an SACD, you will here the CD redbook PCM layer, not the DSD layer. To hear the SACD layers you will need playback devices with the SACD logo and setup to hear the SACD layer.
DSD (Direct Stream Digital) is an open format that does not require licensing for selling or playing back the files. DSD, like tape or PCM digital, is a format that can be recorded to. More studios are realizing the improved sound characteristics of DSD and recording natively to DSD. Several record labels (listed elsewhere on this site) offer DSD downloads that are playable with music servers and appropriate DACs.
DSD Discs are another method of releasing DSD audio. If you create a DSD Disc is will not be playable on an SACD player because the SACD requires specific authoring to comply with Sony's proprietary standard. Some PS3 Sony Playstations will play the DSD disc. There are other devices in the market place as well.
More Information can be found in this search about devices.