All different and have different uses:-
1) ThisWorkbook - Often used for things such as macros that will execute
automatically when you open the file. They typically have to go in here.
2) Sheet - Often used for Event macros, eg on sheet 1, anytime someone types
something and you want it converted to CAPS/Lowercase, numbers validated etc, or
clicks somewhere on that sheet and you want something to happen.
3) Module - Where 95% of the macros you use will likely go. These macros are
available to you via the Tools / Macro / Macros option when in any worksheet.
For a far better description of all these and more:-
http://cpearson.com/excel/codemods.htm