Shock absorber - a dampner - a device that applies an opposing force to motion that is directly proportional to the velocity.
Spring - a decvice that applies an opposing force that is directly proportional to the displacement. Often installed around shock absorber to minimize space usage
Strut (McPherson) - a sliding pillar - basically a shock enclosed in a housing that is strong enough to provide latteral and positioning support to the position. Spring is wrapped around it for packaging convienince. Has some disadvantages over a traditional double wishbone (short-long arm) suspension geometry, but is much more compact in packaging.
Coilover - A custom spring assembly with an adjustable spring seat - allows ride height and weight distribution to be adjusted on all four corners. So called because the whole assembly goes over the shock absorber, similar to a strut or many normal springs with fixed seats on the shock assembly.
(Man I hope I got that all right.)