bit holder v.s. hex bit socket v.s. nut driver
You can use them interchangeably, as long as they're the same size. 

A "bit-holder" will often be magnetized to hold the bit in (and incidentally holding the screw as well) while the other two can be, but it's not as common. 

A "hex bit socket" or "nut driver" is probably more durable than a "bit holder" if it matters to you, for example if you're using a high torque impact driver.