From PHP.net, since they already explained it so well.
$GLOBALS
Contains a reference to every variable which is currently available within the global scope of the script. The keys of this array are the names of the global variables. $GLOBALS has existed since PHP 3.
$_SERVER
Variables set by the web server or otherwise directly related to the execution environment of the current script. Analogous to the old $HTTP_SERVER_VARS array (which is still available, but deprecated).
$_GET
Variables provided to the script via HTTP GET
$_POST
Variables provided to the script via HTTP POST
$_COOKIE
Variables provided to the script via HTTP cookies.
$_FILES
Variables provided to the script via HTTP post file uploads.
$_ENV
Variables provided to the script via the environment. Analogous to the old $HTTP_ENV_VARS array (which is still available, but deprecated).
$_REQUEST
Variables provided to the script via the GET, POST, and COOKIE input mechanisms, and which therefore cannot be trusted.
$_SESSION
Variables which are currently registered to a script's session. Analogous to the old $HTTP_SESSION_VARS array
For more in depth information, please visit php.net (a really great PHP resource site).