Through studying the hard lags between the soft (3.3-5.8 keV) and hard (13.0-41.0 keV) photons of the 0.5-10 Hz quasi-periodic oscillations (QPOs) in GRS 1915+105, we have classified them into three types: 0.5-2.0, 2.0-4.5, and 4.5-10 Hz QPOs. They are closely related to different temporal and spectral states. The first type of QPO (0.5-2 Hz) has positive hard lags at both the QPO fundamental and first harmonic frequencies. These QPOs were observed in the quiescent soft state. The second type of QPO (2-4.5 Hz) was also detected in the quiescent soft state; these QPOs have opposite signs of hard lags at the QPO fundamental and first harmonic frequencies. The third type (4.5-10 Hz), which showed up in medium soft quiescent/outburst states, does not have significant higher harmonic peaks. There is a smooth transition between these three types of QPO behaviors. We did not detect 0.5-10 Hz QPOs in the very soft state. We discuss some of the implications of these results.