The Views' style system is how you customize the output produced by your view. A view style is basically a smart theme template that processes the view data and then outputs it. All styles in Views can be overridden by placing copies of the templates in your theme directory and then modifying them. See the theme: information link available on all views to get hints for which templates a given view is using.
A breakdown of View output
By default, the style is unformatted, which means that there is very little style actually used; the records are simply displayed one after another, enclosed in a <div> tag so that you can use CSS to manipulate the view.
Some styles use a separate row style to determine how each row of the View looks. This is useful for mixing and matching styles to more readily produce exactly the kind of output you need.
Many styles can be grouped. For styles that can, there will be a 'grouping field' option; pick one of the fields to group by. This grouping field will be displayed as a header, and all rows will be displayed beneath it.
With the Theme Developer module enabled, the field grouping in Views does not work. Disable the Theme Developer module before grouping by fields.
Each style is its own entity.