Centipedes are the "hundred leggers," millipedes are the "thousand leggers," and pill bugs are sometimes called "sow bugs, and they're all found beneath leaves on the ground, beneath stones, cellar corners, and a jillion other musty, mouldy places. Though these creatures may resemble abundantly legged segmented worms, they're not members of the segmented-worm phylum -- they're not annelids. The two main features causing them to be different from annelids are that centipedes and millipedes are encased in hard exoskeletons and have jointed legs, which true segmented worms don't.
Here are the main differences between centipedes and millipedes
Though thousands of species of both centipedes and millipedes inhabit the earth there is no good, comprehensive, commonly available field guide for their identification. The Golden Nature Guide called Spiders and Their Kin illustrates about twenty of the most common species, so probably that's the backyard EarthFooter's best bet.