Open circuit scuba refers to using a regulator, where your exhaled gas goes straight into the water. This is the way most of us first experience the world below the waves.
Freediving is simply diving holding your breath, so no cylinder, no regulator, etc. Its the barest/most natural form of seeing underwater, with special breathing techniques your dives can exceed 5 minutes!
Closed-circuit is a more complicated way to get underwater but gives you the advantage of being silent (i.e. no bubbles) and you can spend many hours without the need to surface to change cylinders.