The Difference (corrected)

That: Incorrectly: The boy that was crying. Correctly: The dog that ate my shoe.
Who: Incorrectly: The pan who sizzled. Correctly: The girl who was crying.
Which: Incorrectly: The girl which lent me her hair tie Correctly: This is the shirt, which I wore to the dance.
That: The difference between saying "that ball" and "she wore the coat that she bought in Spain" is that the first example that is being used is called a demonstrative pronoun which is a way in which "where the meaning is dependent on something other than the relative physical location of the speaker, for example whether something is currently been said or was said earlier." "http://en.wikipedia.org/wiki/Demonstrative_pronoun
The second example that is being used in a restrictive relative clause this is something that adds information to the noun.
Who: The difference between saying "Who is he?" or "He is friends with Charlie who is the senator's son" is that the second example who is being used as a subordinate clause which "will begin with a subordinate conjunction or a relative pronoun(who) and will contain both a subject and a verb."
http://www.chompchomp.com/terms/subordinateclause.htm 
Which: the difference between saying "which one?" or "he ate the food which he brought from his home"
the first example is an interrogative the second example is called a relative.
Run-on senctence: A run-on sentence is a sentence with two independent phrases which can stand by there self in one sentence alone. Run-ons are commonly used in our writing although they are grammatically wrong!