As far as what they do there is no difference, and both support weight loading above them. Shape wise a lintel is usually flat compared to the curved shape of an arch. Strength wise the arch is far superior and only compresses more the greater the loading, compared with a lintel that has limitations to what it will hold before failing due to compression.
Having said that most lintels carry very little weight anyway as it is spread out through the interlocking of stone, block, or brick and the only weight it actually carries can be measured by drawing a line at 45° from each end of the lintel until they cross in the centre above it and what its actual loading is. Beyond that, the wall supports its own weight and that above it providing something supports the interlocking material and how the Victorians managed to support mass weight purely on timber lintels only 3 inches thick. With lintels, span becomes an issue very quickly much less so with an arch