The descriptions of these settings are already exhaustive I believe:
Categories watched
You will automatically watch all topics in these categories. You will be notified of all new posts and topics, and a count of new posts will also appear next to the topic.
Topic watched
You will be notified of every new reply in this topic, and a count of new replies will be shown.
Categories tracked
You will automatically track all topics in these categories. A count of new posts will appear next to the topic.
Topic tracked
A count of new replies will be shown for this topic. You will be notified if someone mentions your @name or replies to you.
For watched categories and topics users will always receive notifications for each replies.
By default emails will also be sent only if the user is not active on the site for 10 minutes. Each user can modify this behavior from its user profile.
The most relevant site settings to check are:
email time window minsfor topicspersonal email time window secondsfor PMsmax emails per day per user(100 by default)