Close-up, parlour, and stage are terms that magicians use for different styles of performance. The terms directly refer to the size of the venue where the performance takes place: close up is the smallest and stage is the largest. Indirectly, however, the terms also refer to the control that the magician has over the sight lines of spectators and, insofar as both size and sight lines are a consideration, what types of tricks you are likely to see.
Close-up magic is sometimes thought of as the "purest" form of magic. It traditionally encompasses tricks that rely heavily on slight of hand and misdirection and less on props or devices to achieve the effect, though there are exceptions. It is magic that is best performed in a smaller venue. A spectator who has just witnessed a close-up performance might describe the magic as having happened "right in front of my eyes." Because the magician is close to the audience and the audience is small, the magician will often have reasonably good control over sight lines. Most card magic is considered to be close up as is magic with coins, balls, or rope. The genres of "walk around" or "restaurant" magic might reasonably be thought of as subsets of close-up magic.
Parlour magic is magic performed in a medium sized setting like a living room or parlour, whence the names comes. In a parlour setting the audience is reasonably close and likely sitting more or less in the round, giving the magician poor control over angles. Parlour magic might encompass a lot of what could be called close up magic, but the use of smaller props such as books, notepads, photographs, or cell phones--things that might be found in a living room--is more common. Mentalism (i.e. magical presentations designed to give the illusion of paranormal or at least extraordinary mental powers) is more common in this setting. The term "parlour" is sometimes used interchangeably with the term "platform" referring to a very small raised stage or even stool as you might see if a magician is performing on the street in a busking situation or at a trade show or convention. (Companies will often hire magicians to draw a crowd and tout their wares at such events. This might be called "trade show" magic and refers more to the way that the magician makes a living than to the type of magic per se.)
Stage magic refers to magic in a large theater setting. Because the magician is set back from the audience and covered from the sides and rear, he has excellent control over angles. While stage magic can include elements of both close up and parlour magic, it is characterized by the use of large props, choreography, and magician's assistants. Stage magic is probably the type that you associate most with the genre because it is the style associated with the biggest stars--David Copperfield, Lance Burton, Siegfried and Roy--although all of these people incorporate elements of close up and parlour. Effects in stage magic with which you are likely familiar include levitations, escapes, and anything where anybody crawls into a box (often a woman, usually to get chopped, sliced or stabbed).
There are two stragglers in this set which I do not normally include because I consider them to be subsets of stage magic. The first is what you'd call "large scale illusions." These are often stage style effects, the performances of which are physically too large (or dangerous) to perform in an enclosed theater. David Copperfield vanishing the Statue of Liberty is a good example; the Statue of Liberty will not fit in a theater. A straight jacket escape, which might normally be a parlour or stage effect, can be turned into a large scale illusion by doing it upside down over Niagra Falls such as James Randi once did.
The second straggler, as possibly a subset of "large scale illusions," is what you might call "feats of physicality." These include David Copperfield standing in the eye of a tornado of flame or David Blaine going without food. You might also just call these "stunts" rather than magical effects of any kind (which is not to say that deception is not present in some form).
There are not clear or rigidly defined distinctions between close up, parlour and stage magic. Each encompasses elements of the other. I have seen acts that might traditionally be called parlour or stage (e.g. a straight jacket escape) work well in an intimate venue. There are also plenty of examples of classic close up magic (e.g. card magic, cups and balls, vanishing silks) playing well on stage. But nonetheless these serve as useful and common shorthand terms to describe performance styles that magicians might use even among non-magicians.

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