Illusion = when your senses are deceived or you misinterpret what your senses detect or what you think they detect. 

Common example an illusion in the desert of water, caused by heat vapours. Or shinny glimmers on a  hot road that looks like mist or water in the distance. Or Illusions caused by magicians with mirrors and black curtains.

Elusion = the act of escaping or avoiding being captured.

Allusion = when somebody refers to something in a speech indirectly or covertly

Delusion = the act of believing something that is contradicted by reality. Used to describe mental disorders. 

"Thats just an illusion you see before you"

"The car thief elluded capture"

"what exactly are you alluding to, are you calling me a liar?" 

"You are a very sick deluded individual" <<- a common expression you might hear.