Your threshold is the minimum score that a comment needs to have in order to show up on your screen. Comments are scored from -1 to 5 by moderators, and you can set your threshold at any score within that range. Higher threshold settings reduce the number of comments you see, but should show only better quality posts. These are simply different ways of viewing what can be a long list of replies to a story. Choose flat to show all the comments in one gigantic list, without showing the relationships between comments.
Threaded mode displays a hierarchy of responses, with replies as links to new pages.
Choose nested to display the same hierarchy of responses, but show all of the comments. And, of course, choose No Comments to show no comments. If you have a log in, you can edit your preferences to set a default mode. Submissions are moderated by site administrators and by users. If you log in you can choose whether or not to be eligible to moderate.