"Consumer" is the opposite of "producer." It's a somewhat cold, semi-technical word for the people who buy products and "consume" them.
Despite the similarly of the words, "customer" and "consumer" are not related. A customer is something who buys things at a store. A "customer" originally means someone who buys things regularly at a store--it is their "custom" to shop there, they "customarily" buy shop there--but nowadays it just means anyone who comes into a store to buy things.
"Client" specifically means someone who is buying a service, often a professional service. Thus, the people who pay a lawyer for legal work are the lawyer's "clients." A financial advisor has "clients." A hairdresser or manicurist has "clients."
"Guest" only has a business meaning with respect to the hospitality business (i.e. hotels). The people who stay at a hotel are "guests." Since a hotel is a business, its guests are also its "customers."