Auto: Flash and focus light are both automatically on when needed. If it’s dark, the focus light goes off first, while the camera is trying to focus, and the flash fires when you take a photo.
On: The flash always fires, even if it’s daylight. The focus light may or may not go off. Keeping the flash on is useful in backlight situations, when the subject is dark and bright light is coming from behind.
Focus light only: Flash is off, but the camera uses focus light when needed, for example, when it’s dark. This is useful when you want to use natural light, and focus quickly.
No Focus light: Focus light is switched off, but the flash is on Auto. This is useful if you don’t want to annoy people with the focus light, but still want to use the flash to light your subject.
Off: Both flash and Focus light are off. This is useful in situations where using a flash is forbidden, for example, in art galleries.