They work very differently in a sentence. You say something. You tell somebody something. Tell also suggests that you are specifically passing information to the listener. Say can mean this also, but it can also be used for a casual comment.

On a more grammatical level, "tell" always requires an indirect object. "Say" doesn't. For example, "I told that I'm going to the store" is wrong. "I said that I'm going to the store" is fine. "I told him that I'm going to the store" is fine.

You say something. You tell someone something John said that he was tired. John told Jane that he was tired.

Basically: You say something You tell someone something OR You say something to someone For example: Say-- When I asked if I could help him, he said, "no." He says he's fine. The directions say to turn off the power first. Tell-- I told him I was coming. My boyfriend always tells me that I'm beautiful. Tell me why! Say something to someone-- You say that to everyone. Sara said to him, "I don't want you to go." She said WHAT to him?! (asking for the exact words) This website has a pretty good explanation: http://www.englishclub.com/vocabulary/cw-say-tell.htm

I agree with the answers already posted. I'll just add that 'tell' can also mean 'figure/find out', in which case it can take an object. Ex. "I can't tell what that sign says" (possibly due to something like bad eyesight).