AE Lock
Auto Exposure Lock is a mode on all Canon EOS cameras. AE Lock sets the camera to the current exposure setting, regardless of shutter or aperture changes. Unlike setting exposure manually, AE Lock enables the use of the built-in metering capabilities of the camera to easily pick and set an exposure.
AE Lock is especially useful in filming video, as automatic exposure might cause unseemly changes in exposure while shooting, whereas AE Lock maintains a consistent exposure.
FE Lock
Flash Exposure Lock. Locks exposure to flash settings, often tied to AE Lock. Useful when using flash in hard to expose scenes.
AF Lock
Auto Focus Lock. AF Lock happens automatically when pressing the shutter button halfway. Locks focus to current Auto Focus target. This mode is especially useful when wanting the in-focus subject to the side of the frame.