Staking earns rewards by contributing directly to a proof-of-stake blockchain's security. The main risks are slashing, lockup/unbonding periods, and (for liquid or delegated staking) protocol or counterparty risk — but you're generally not exposed to a borrower defaulting, since there's no loan involved.
Lending (through a platform or a DeFi money market) earns interest by supplying assets that others borrow, usually against over-collateralized positions. The main risks are borrower default or protocol insolvency, smart-contract bugs, and — during market stress — a platform's inability to honor withdrawals if too many lenders exit at once.
Providing liquidity to a decentralized exchange earns trading fees (and sometimes extra incentive tokens) in exchange for depositing a pair of assets into a pool. The distinguishing risk here is 'impermanent loss' — value lost relative to simply holding the assets, caused by the pool's price automatically rebalancing as traders swap against it — on top of the usual smart-contract risk.
These strategies aren't mutually exclusive: liquid staking tokens, for instance, are often themselves lent out or supplied to liquidity pools, stacking a lending or LP yield on top of the underlying staking yield — and stacking the associated risks along with it.