Fields are the individual pieces of data being displayed. Adding the fields Node: Title, Node: Type, and Node: Post date to a node view, for example, includes the title, content type and creation date in the displayed results).
Fields may not appear on every display, because not all style plugins actually use fields. For example, the 'node' row plugin simply displays the node through Drupal's normal mechanisms, and fields are not involved.
For the most part, the field settings should be self explanatory. Fields will appear in the order that they are arranged in, and they will usually appear with the label they are given.