1/4-Inch Plug (aka TRS)
Use it for: Guitars and music equipment, home theater audio, pro equipment, headphones
If you have a choice, select it instead of: A mono mini-jack
It's similar in performance and use to: Mini-jack, 2.5mm plug
It adapts to: Mini-jack, 2.5mm plug, RCA plugs
Add more ports by: Connecting a splitter
This connector most often carries stereo audio to headphones. You'll also find it on professional audio equipment, home theater audio components, and many headphone designs.
2.5mm Plug (aka TRS)
Use it for: Mobile phone headsets
It's similar in performance and use to: Mini-jack, 1/4-inch plug
It adapts to: Mini-jack, 1/4-inch plug, RCA plugs
Add more ports by: Connecting a splitter
Though some mobile phones include mini-jacks, many more interface with a 2.5mm plug, often supporting microphones or hold buttons. You can adapt your larger headphone cables to this small size in order to listen to music, however.
XLR
Use it for: Mostly midrange and high-end microphones
If you have a choice, select it instead of: 1/4-inch plug
It's similar in performance and use to: 1/4-inch plug
It adapts to: 1/4-inch plug (although in that case it doesn't power mics)
Add more ports by: Connecting to a mixer
While this kind of connector can support more pins, the three-pin version is used most often in midrange and professional audio hardware. Microphones typically use this cable, which also can provide them with power.
Speaker Wire
Use it for: Connecting speakers
Add more ports by: Connecting a splitter or receiver
Strands of speaker wire--each with two cables inside--connect each speaker to your receiver. Brand-name versions are a waste of money. The gauge, however, can matter, especially when you're running long lengths, around 75 feet. Thicker wire (a lower gauge number) works best. Try not to use any excess cable, since that can produce interference. You can add a banana-plug tip to make the connection, but you'll get the same results by twisting the exposed wire end and inserting it into each device; just be sure to match the positive and negative markers on each component.