A Consulate is very similar to a embassy but much smaller in terms of size, duties and responsibilities. Consulates normally are located in the cities with larger population but not the capital ( Embassy is generally located in capital city). For example, the U.S. consulates in Australia are in Melbourne, Perth and Sydney while the embassy is located in Canberra.
A consulate is headed by a consul and focus more on providing government services for citizens abroad. Their services include process visa requests, accept passport application and other official documents that their citizens in need. Consulates also assist with minor diplomatic issues such as facilitating investment in host country and representing business interests.
See U.S. Department of State's official website for the full list of all U.S. embassies and consulates.