What do drop-down arrows by Selection, Full Screen, Window and Web mean?

Drop-down menu by 'Selection' selects the selection type - simple, where you select an area you'd like to capture just once (as soon as you let go, it makes the screenshot), and also have a zoom-window to assist you in being pixel-perfect. Advanced allows you to select an area, resize it however you'd like, and then press Enter to capture it.

Drop-down menu by 'Fullscreen' select which viewport / cube edge / workspace to capture. Shutter will switch to that viewport, capture, and then go back to your original screen.

Drop-down menu by 'Window' allows you to select a window to capture - so you don't need to try and get the dimensions correct yourself.

And as for web, that just sets the timeout - how long should shutter wait for the download of the page.

Hope that helps.