Since the question is context-dependent, I’ll answer in various contexts.
First, the historical. “Magi” (is that the plural of magus?) refers to astrologers, so the term would imply learning and divination. “Warlock” means “oathbreaker”, so the term has historically had strong negative denotation and connotation. “Wizard” and “witch” both come from the same roots as “wise”. Thus, it might be more reasonable to consider “wizard” to be the male counterpart to “witch”, rather than “warlock”. “Sorcerer” I’m not sure of: It’s often equated with Hebrew words for spellcasters of a type abhorrent to God, but such translation is probably not justified.
In Tolkien’s world, a “wizard”, such as Gandalf, is not human, but rather a sort of angelic being. By no amount of study or experience can a human or other non-wizard become a wizard. A sorcerer is one who works black arts, such as the chief of the Nazgul or the Mouth of Sauron. Both of these were human, so a human can become a sorcerer, although it may have required tutelage from Sauron (himself an angelic being in origin, similar to Gandalf). The chief of the Nazgul is also referred to as the “Witch-King”, so one may suppose that in Tolkien’s works, “witch” is roughly equivalent to “sorcerer”. Many Elves (and depending on your interpretation, some dwarves and humans) can also work what would be considered to be magic, but no title is given for such persons. This generally seems to reflect a level of inherent power, rather than learning. Galadriel, one such elf, is referred to as a “witch” by the superstitious Rohirrim, but the members of the Fellowship take this as an insult and correct them. This reinforces the idea that “witch” is a negative term.
In the Harry Potter books, “witch”, “wizard”, and possibly “warlock” and “sorcerer” seem to all be used equivalently, save that witch is female and wizard is male. There is no moral judgement associated with any of these terms, as any of them can be good or evil. Magical ability in this case is a combination of inborn talent and education.
In Steven Brust’s Jhereg series, a “witch” or “warlock” (male and female, respectively) uses internal psychic energy in a rather freeform way, while a Sorcerer uses energy channeled from the Imperial Orb in certain specific, established manners. There is little overlap between what a witch and a sorcerer can do. Anyone can become a witch or sorcerer, although some are inherently better at it than others. There are also other unnamed forms of magic-use (such as that which was used to create the Imperial Orb in the first place), but these are restricted to very rare inborn ability.
In C. S. Lewis’ Narnia, there are two beings referred to as witches, and two referred to as magicians. Both witches are evil, and had their power inherently, being demons of a sort. Both magicians are good, and came to their power through study. There are also other beings capable of working “magic”, though without any other title given for them. Generalization from these four might be hasty, and it’s at least implied that evil magicians are possible.