A User Event will only be visible by the user currently logged in (i.e. the one creating the event)
A Group Event will be visible to a particular Group on the course (chosen from a drop-down list)
A Course Event will be visible to participants on the course in question. Only users with the capability to manage calendar entries at the course level can add course events.
A Site Event is a "global" event - visible in every course and on the calendar on the home page. Only users with the capability to manage calendar entries at the system level can add site events.