They are all default users and groups Windows uses to maintain permissions, typically for security purposes.
Authenticated Users is a pseudo-group (which is why it exists, but is not listed in Users & groups), it includes both Local PC users and Domain users.
SYSTEM is the account used by the operating system to run services, utilities, and device drivers. This account has unlimited power and access to resources that even Administrators are denied, such as the Registry's SAM.
Administrators can do just about everything a user would want to do with Windows, typically this includes the first user you create with windows. You are probably a member of this group.
Users are accounts with lower permissions, and typically require an Administrator to enter their password to do anything that would bring up a UAC console in Windows. You can create accounts with these permissions (I do it for my guest account) with the "Add Remove User Accounts" menu in the Control Panel.
MicroSoft has quite a bit of information out there on these default accounts and groups. Read more below: