History is just... History. Or Browsing history.
Cache and temp files are little snippets of pages and other such crap that browsers save to make it faster to return to a page once you've already visited it once.
download history is pretty self explanatory.
It depends what you want to get rid of my friend. Personally I live to get rid of everything
once in a while to cut down the size of the temp folders, but if you're just trying to cover your tracks from the wife/girlfriend/parents/police/FBI/NSA, just get rid of the history and caches
[disclaimer: deleting cache not a guaranteed