An activity is a general name for a group of features in a Moodle course. Usually an activity is something that a student will do that interacts with other students and or the teacher.
Here is a brief descriptive list of the Activities available, with links to additional information on the Moodle community's documentation site:
Assignments - Enables teachers to grade and give comments on uploaded files and assignments created on and off line
Attendance - Enables a teacher to take attendance during class and students to view their own attendance record
Checklist - Allows a teacher to create a checklist / todo list / task list for their students to work through
Choice - A teacher asks a question and specifies a choice of multiple responses
Feedback - For creating and conducting surveys to collect feedback.
Forum - Allows participants to have asynchronous discussions
Glossary - Enables participants to create and maintain a list of definitions, like a dictionary
Lesson - For delivering content in flexible ways through modules
Quiz - Allows the teacher to design and set quiz tests, which may be automatically marked and feedback and/or to correct answers shown
Wiki - A collection of web pages that anyone can add to or edit