The Universal Forwarder is a light weight agent for nix,mac,windows that can read your logs from your log source and forward them to a Heavy Forwarder or to an Indexer.
The Heavy Forwarder is designed for heavy lifting of data. It can be used for large amounts of data.
The DB connect is used used to pull data from a database and then send that data to a heavy forwarder or indexer, where it is then searchable. Here is a good Splunk video on the topic.
WINScp can be used to transfer files from a host to client, or a client to host. For example, it can be used to copy the splunk installer to a nix box. You can also use WINSCp to transfer files to a deployment manager.
The HTTP collector is also used to get data into Splunk. It's just a different way of getting data into Splunk. The HTTP Event Collector (HEC) lets you send data and application events to a Splunk deployment over the HTTP and Secure HTTP (HTTPS) protocols. Here's a good tutorial.