Sump is a water resevour below your tank. Water is pumped to the sump and then back to your tank. Wet dry is a filter that is associated with a sump. Uses mechanical and biological filtration. Refugium is like another minitank set up in tandem with your main tank. Some use the refugium to grow algae, for filtration, or to place fish that are being harased.
All three are closely related, but subtle differences. Some times sump and wet dry are used for the same thing.