In simple terms, conduction is the transfer of heat along an object. In automotive terms this could be heat travelling through an engine. A carburettor or intake manifold can get hot due to the heated molecules in the metal around a combustion chamber passing the heat onto the surrounding metal.
Convection is where the heat is transferred to a fluid such as air or a liquid is heated and then carries the heat away. Naturally a car radiator carries out this process along with most home heaters.
Radiation or thermal radiation transfers heat by the emission of electromagnetic waves. Holding your hands in front of a fire is an example of radiation or radiated heat. Electric bar heaters do the same thing.
The theories of convention, conduction and radiation are nicely explained in this article.