Sounds like you need to browse a datasheet a little.
The ATMEL AVR uCs have In-System Programmable Flash with Read-While-Write capabilities, EEPROM, and SRAM.
The Flash, while technically could be thought of as a type of EEPROM, is where you sketch runs from.
EEPROM is where your sketch can store data & retrieve it after power loss/reset & do something with it.
SRAM is SRAM, used to hold variables & such while a sketch is running.
There is some software called BitLashhttp://bitlash.net/wiki/start
that perhaps may be of interest to you for running sketches from other than Flash memory.