None of these words is really much more formal than the other, but they are used in different contexts.
"Well-known" means that someone or something is very familiar to a group of people.
Ex.
"The man with the yellow hat and his monkey george are well-known in this small community"
"famous" describes someones or somethings popularity among a group of people.
Ex.
"The fried chicken is famous in this town!"
"celebrity" is a noun that describes a person with exceeding popularity and they are usually known by an entire country or the world. You can say "local celebrity" to talk about a person who has reached such a status in a smaller community.
Ex.
"As a celebrity, he gets all the praise from the media and his fans."
I hope this description helps. If you are still unsure, please ask.