After you created a new Web Application in SharePoint, you have the ability to extend your web application. What does it mean? It means you can use a different access point to access your existing SharePoint application, with the new access point, you can use different authentication schema.
When you extended your web application, you can associate your new URL to one of the four built-in zones:Intranet, Internet,Custom, Extranet Zone. I HATE those names, it confused me quite a while to understand what they mean, especially, when you keep trying to connect them with the security zones in the IE browsers.
Finally, what, they are nothing. They are just a category for you to differentiate different zones.
Put it simple, we should call it Zone1, Zone2, Zone3 and Zone4.