Themes generally do full visual customizations. Click on theme to view their topics. There is for example one that makes it look more like FB and Reddit.
theme-component are things that are installed to augment a variety of visual and interface elements.
Both the above make changes on the client or browser side.
plugin on the other hand made server side changes and can directly change things that the above cannot.
To view this goto the sidebar and click on Documentation
The documentation category is using a new interface the team is testing out and makes finding a lot of info there much easier than previously.
plugin options will depend on whether you choose a hosted plan from a discourse provider or if you choose Self Hosted to have a full choice of plugins.
theme & theme-component are able to be installed on any discourse forum.
Hosted plans have the benefit of their teams be it Meta, Communique(so?), Pavilion, etc will have hosting plans with a set of plugins available to use.
- Benefit? Included direct support and they maintain the back end.
Self-Hosted one needs to maintain their own server and if you run into a problem you can’t solve may need to use marketplace to pay someone to fix a problem.
- Benefit? Much more flexibility
As @Lilly said the team has some excellent options with hosting.