What are the different Menu Item Types?
From Joomla! Documentation
This gives you access to content. You can then choose from section, category, archive, articles, front page. Within section, category and archive, you can choose list or blog layouts.
Blog layout will show a listing of all Articles of the selected blog type (Section or Category) in the mainbody position of your template.
Table layout will simply give you a tabular list of all the titles in that particular Section or Category.
Wrappers allow you to place stand-alone applications and Third Party websites inside your Joomla! site. The content within a Wrapper appears within the primary content area defined by the "mainbody" tag and allows you to display their content as a part of your own site. A Wrapper will place an iframe into the content Section of your Web site and wrap your standard template navigation around it so it appears in the same way an Article would.
Each component will have its own link. Some may require you to make additional choices of options.
Lets you link to an external site. There may be occasions where you also want to point to a link directly to a page on your site.
This lets you make a text or image only (non-linkable) menu item.
Lets you make a link matching an existing menu item. This avoids the problem of having multiple URLs pointing to the same content.