Plugins
Plugins enable you to execute code in response to certain events, either Joomla core events or custom events that are triggered from your own code. This is a powerful way of extending the basic Joomla functionality.
Components
Components are the main functional units that display in your template, like the content management system, contact forms, Web Links and the like. They are usually displayed in the center of the main content area of a template (depending on the template).
Modules
A more lightweight and flexible extension used for page rendering is a module. Modules are used for small bits of the page that are generally less complex and able to be seen across different components. Sometimes modules are linked to a component such as the core latest news module.
Extensions
Components, languages, modules, plugins and templates collectively known as Extensions.