Asteroid, meteor, and a comet.
Additionally to mandyloo's descriptions: Asteroids can be found all over the solar system, but predominantly between Mars and Jupiter (the 'asteroid belt'). They're mostly rocky. Comets originate in the Oort cloud, out beyond pluto. They get a 'tail' when they head into the inner system, heating up as they go. They're usually largely made of ice.
Asteroid - any of the small planets that orbit the sun between Mars and Jupiter
Meteor - a small piece of rock or metal that has entered the earth's atmosphere from space
Comet - a type of celestial body which leaves a trail of light behind it as it moves.