Defining the differences between various types of Presidential documents - e.g., executive orders, memoranda, directives, and proclamations- is not easy. As this helpful CRS report on Executive Orders notes the "definitions of these instruments, including the differences between them, are not easily discernible, as the U.S. Constitution does not contain any provision referring to these terms or the manner in which the President may communicate directives to the executive branch." That said,
Proclamations tend to be generally ceremonial. Think Read Across America Day, 2015 or American Heart Month. Proclamations can, however, be significant legal documents. Think of President Gerald Ford's pardon of Richard Nixon, which came in the form of a proclamation:
Or, even more significant, the Emancipation Proclamation of 1863. Proclamations are usually published in the Federal Register (at least since the Federal Register began in 1937).
Executive Orders and Memoranda generally tend to be more substantive tools for establishing policy, delegating Presidential authority, or directing Executive action. From a legal research standpoint, the most crucial thing about researching Executive Orders is that you make sure they are up-to-date. New Executive Orders can amend or repeal earlier Executive Orders and finding an "as amended" version can be difficult. There is not one resource, however, that makes available all of the current Executive Orders in "as amended" form. Some "as amended" versions are found as notes following relevant provisions in the U.S. Code. But if you intend to cite, or otherwise rely upon, an Executive Order, make sure you look up the Executive Order on Westlaw to see whether there is a flag indicating changes or amendments. Westlaw is not always fail-proof, so also check out these Executive Orders Disposition Tables (from 1994 to current) from Federal Register.gov and these Executive Orders Disposition Tables (from 2017 to 1929) from the National Archives. Executive Orders and Memoranda are published in the Federal Register.
Directives present special problems as may of them are not made public and the spotty coverage makes it nearly impossible to determine which ones are still in effect at any given point in time. Even the names of the Directives change from administration to administration. The problems with Directives is especially problematic given that, as this OLC opinion - "Legal Effectiveness of a Presidential Directive, as Compared to an Executive Order" - notes, a Presidential Directive can have the same substantive legal effect as an Executive Order, what is important is the content, not the form. For available coverage of directives from several different administrations see the Federation of American Scientists page here. See also Steven Aftergood's discussion of the difference between directives and executive orders.