Conduction- transfer of heat through touch. Example: burning yourself on a pan
Convection: transfer of heat through a convection current, in liquid or gas. Example: boiling water A convection current is a circular motion where the cold particles sink and the hotter ones rise. The hotter ones then cool down, and sink back to the bottom of the pot and heat up.
Thermal radiation: transfer of heat through waves through air or open space. Think, standing near a campfire. Or the sun simply heating up earth.
