You are entering a topic here that is very confusing, not only to the layman, but also to the scholar whose field of expertise lies outside of Jewish studies.
Midrash ("study", "inquiry") is not a canonical corpus comprising a certain set of books, it is rather a way of investigative exegetic writing that has been adopted by many authors or schools over the centuries. The resulting books were either traded as single works, or compiled into collections, or integrated into other corpora of the scriptures.
Those midrashic books may be categorized in two ways: chronologically, or by subject matter.
By subject, there are the Halakhic Midrashim and the Haggadic Midrashim.
Halakhic midrashim are interpretations of the Tora and some proverbial books, all dealing with extracting and explaining the Law in a way to make it applicable to everyday life. These halakhic writings are often several commentaries on the same book of the Tora, but by different rabbinic authors or schools. They are met with highest esteem.
Haggadic midrashim concentrate on tales and lore as extracted from the Bible which found reception in popular legends and myths. They derive mostly from the historical books and the prophets.
By chronological order, one would distinguish between "Tannaitic midrashim", which stem from the first 2-3 centuries of the Christian era and often are connected to rabbinic schools that also play a major role in the Talmud; "Post-talmudic Midrashim"(6th - 12th century) with the 10 writings of the 'Midrash Rabba' as most prominent corpora; and Medieval Midrashim (14th century and later) with Midrah ha-Gadol as the most interesting and influential book.
If you check Wikipedia, you will find a timeline and a text box on the right side containing chronological overviews of most writings:
http://en.wikipedia.org/wiki/MidrashimHowever, as usual, one should not rely on Wikipedia information. This article is a good example, because it does not quote sources and thus must be re-written in order to be useful.
The most comprehensive scholarly guideline on the topic is this book which I highly recommend:
Hermann Strack, Günter Stemberger: Introduction to the Talmud and Midrash. 8th edition. (German original published in 1992)
http://www.amazon.com/Introduction-Talmud-Midrash-Hermann-Strack/dp/0800625242
