RGB is a color space and stands for Red, Green and Blue. When saving files in a drawing or photo program you can choose RGB or CMYK (Cyan, Magenta, Yellow and blacK) as your color space. RGB is used for projection or use on the internet/tv and CMYK is used for print.
The other three are file formats. GIF, JPG and PSD.
GIF stands for Graphics Interchange Format and it will have the smallest file size, but it will also contain the least amount of info and quality.
JPG stands for Joint Photographic Experts Group and is the most common of the three formats. It allows for the image to be compressed, or not and most images on the internet are in JPG format.
PSD stands for PhotoShop Document and is the native file format for the image program PhotoShop. It is the format with the largest file size of the three, and generally only used by people who have Photoshop as others usually cannot view the files.
Hope that was helpful? Any other questions just give a yell!
As an addition: jpg is generally used for photos and graphics with alot of shading and/or photographic elements. gif is best for graphics/line art. gif also allows for a transparent background and animation while jpg does not.