Prompts you to enter a loction for the refence frame.

I prefer to Control-Click to move the frame.  Control-Clicking moves the frame based on a point of the 2D frame you click in.  If you need the 3rd dimension set you need to Control-Click in one of the other 2D frames.  You are usualy only concerned about one plane for entering verts on or one axis for rotating and bending.

Extrudes a face into a 3D object.  Great for columns, pipes, platform...etc.
Check out Hydra's Extrude Tutorial on the Tutorials main page.  Then check out his how Hydra puts this powerful tool to use in Extrude 2 and Extrude 3.

Creates a 3D object by copying the marked verts in a rotated pattern.

See Hydra's tutorial and examples:
Lathe 1, Lathe 2, and Lathe 3
(the best I've seen on the subject).

He first explains how it works then gives some great examples on how to apply it.

I prefer to lathe objects seperately and paste them in.  And it's not just for objects. Use segments for turning halls or rounding corners.

Bends the marked verts over an axis.  See the tutorial 'Bend Function' by Schplurg.  Also read Bend Function Math if you plan on bending anything complex.

It's good for bending pipes or columns but has some side effects.  Once you bend something you must reset the texture's UV's and re-align them.  Check out Just Say No to Bending, one alternative to bending.  Another aternative is the lathe tool.