Agarose is a linear polysaccharide of alternating residues of D-galactose and and 3,6-anhydro-L-galactose units. It is produced from agar which obtained from red algae and sea weed.
Sepharose is tradename for a type of agarose. It is a bead form of agarose.
Agarose shows linear linkage. Sepharoses are may be non cross linked or cross linked. Non cross linked sepharoses (2B,4B,&6B) shows polysaccharide chains combined by hydrogen bonding to form double helices which gives more rigidity to the structure. Cross linked sepharoses(like CL) are produced from original non cross linked sepharoses using cross linking agents such that they get more thermal & chemical stability.
Sepharose is just a brand of agarose. Think of it as analogous to "brand" vs. "generic" medications, though with greater variations between the brands. The term "Sepharose" really refers to a number of brands, e.g. Q Sepharose XL, SP Sepharose XL, etc. Each brand of agarose (or "Sepharose") avaiable commercially comes with a different physiochemical properties, such as the recommended pH, type of ion exchange (cation vs. anion), particle size, etc. I've attached a document and some links with some more information on some available products. When trying to decide on what brand of agarose you should buy, consider whether or not the qualities of the product are in accordance with what is desired for your experiment.