A response is a message the assistant will send back to the user. This is the action you will use most often, when you want the assistant to send text, images, buttons or similar to the user.
A custom action is an action that can run any code you want. This can be used to make an API call, or to query a database for example.
Forms are a special type of custom action, designed to handle business logic. If you have any conversation designs where you expect the assistant to ask for a specific set of information, you should use forms.
Default actions are actions that are built into the dialogue manager by default. Most of these are automatically predicted based on certain conversation situations. You may want to customize these to personalize your assistant.