In control means a person who has a situation handled. He is in control of the situation. Under control applies to the situation itself. Don’t worry, it’s under control. So a person is in control and the situation is under control.

Stuart's and Tommy's answers are both good. Just to add to these answers, I'll mention that you can also talk about "getting yourself under control." Like Tommy's example ("Mr. Smith is under control"), this means that YOU are the problem, and you have to control yourself. If someone is acting crazy, you can say that the person "needs to get himself under control." In this case, the person is the situation that needs to be controlled -- but he is also the person who needs to perform the act of controlling. If he succeeds, then he will be "in control" and will also "have himself under control," because he will be controlling himself.

In control usually refers to a person or their actions. Mr. Smith was in control of the situation. Under control is more general, to refer to a situation. Although, it implies a question of who has it under control. The fire was under control. Mixing them up would be problematic... saying "Mr. Smith is under control" implies that he is the problem, and other people have stepped in to control him. Similarly, saying "the fire is in control" means that the fire is chaotic and cannot be stopped.