Unlike most dictionaries, Bible dictionaries tend to be more like encyclopedias. They are a resource that you will want to use to get a quick overview of an important topic, word, or person that is related to the Bible.
Lexicons are similar to dictionaries in that they provide definitions of the Hebrew and Greek words that are used in the Bible. Unlike most dictionaries, they often focus on the historical context of the words, that is, how those words were used in other Hebrew and Greek texts that were around at the time of the Bible's composition
Theological dictionaries are very similar to lexicons in that they provide definitions of words and the historical context for those words. Where theological dictionaries differ from lexicons is in the length of their entries. Lexicons will devote a a sentence or two the definition and provide abbreviations and citations to where the word is used in other other works. In contrast, theological dictionaries may devote pages to a single word--with one page on the word's meaning, another on its etymology, and yet some more pages on how it was used in non-Biblical literature.