'Állomás' is a station, usually a building with ticket offices and a waiting area.
'Megálló' is a stop (usu. bus or tram) with a sign on a pole and sometimes a shelter.
There may be an overlap between the usage of the two, e.g. a metro station is an 'állomás', but people say 'két megálló a Deák tértől' (two stops from Deák square).