Light Emitting Diode A transducer which converts electrical energy to light. Usually abbreviated to LED.
A capacitor stores electric charge. It can be used with a resistor in a timing circuit, for smoothing a supply (it provides a reservoir of charge) and can be used as a filter (blocking DC signals but passing AC signals). Unpolarised capacitors usually have small values, less than 1µF.
Oscilloscope An oscilloscope is used to display the shape of electrical signals - showing how they vary with time. It can be used to measure voltage and time periods.
Voltmeter Measures voltage. The proper name for voltage is potential difference but voltage is more widely used.