Let's break down that left column so you understand a little bit more about each of these areas.
Custom Filters: These are any combination of two or more items (labels, lists, and search queries) to make a dynamic filter. As you add new contacts to any item that is attached to a filter the filter will be updated.
Example: A good example of this would be if you have a label, Ohio, and then another label, Employee. If you regularly need to send training to your Ohio Employees (anyone who has both of these labels) then you could select both labels and create a custom filter.
Labels: These will help you keep your contacts organized for sharing and reporting. If you ever need to send training out to people based on criteria then set that as a label. If you ever need to divide analytics down based on criteria then set that as a label.
Example: A good example of a label might be location, job title, position, etc.
Lists: These are helpful if you want to micromanage the contact method that is being used when sending.
Example: If all your contacts have both a phone and email however some of them prefer email and some of them prefer phone.