Oscillators oscillate.. 
I'll try to lie to you as little as possible (you know, glossing over the sticky icky).
Synthesizers run on modules
modules have two categories: generators and processors
Generators CREATE a signal (a signal can be though of as a stream of numbers, or a stream of audio(NOT ALWAYS AUDIO)).
Processors take a signal in, DO SOMETHING to the signal, and send it along it's merry way.
Generator examples: oscillator, lfo, envelope(yes envelopes are generators).
Processor examples: filter, compressor, delay (think fx).
So, you normally start with some form of generator, pass it through some processors, and send it's final signal to the output (whatever that may be, but usually some speakers).
An oscillator is a generator.
ok, an oscillator just moves in a shape (sine wave, triangle wave, square wave, complex waves, noise, etc) between two numbers (usually -1 to 1 when producing audio) over and over again at a designated frequency. Generally an oscillator in a synthesizer is used to generate the audio. Hence the oscillator falls into the generators category. When the frequency is high enough (between 20Hz and 20kHz roughly) it will create hearable audio. Usually your MIDI input (if you're using one) will control the frequency of the oscillator(s) to control their perceived pitch.
an LFO is a generator. It stands for Low Frequency Oscillator.
in a perfect world an LFO is EXACTLY the same as an oscillator. In the real world though, an LFO usually is constrained to low frequencies (0 to 25Hz ish) and using a very high resolution wave form (since it's slower, it needs more numbers packed closer together in the digital/discrete world).
Let me go back over filters very quickly again. Lsea did a pretty good job explaining, but I'll give a bit more insight. How about the low pass filter in general. Low pass means "let low frequencies pass," so we can expect a low pass filter to greatly diminish the high frequencies (a filter can never truly remove frequencies completely). What this will mean is if you're looking at a wave form, the more high frequencies you cut, the "smoother" the wave form transitions will appear to be (a square wave will start to turn into a sine wave). So you can think of control signals. Say you recorded yourself twisting some knobs, but you think the knob transitions are too quick, or too jagged, not smooth enough. You could slap a low pass filter between the recorded control signal before it hits the actual parameter that it's trying to control. Barf, I just reread this filter shenanigans and it's strangely difficult to explain this without getting way too deep, so just remember that you can use a filter for more than just audio tone (a common practice is to low pass your midi keyboard input before it hits the oscillators which will give you the glide effect between notes (portamento)).
Also, hmm, envelopes. The important thing here to keep in mind is that an envelope is a generator just like an oscillator. It generates numbers between 0 and 1 over time (Lsea did a good job explaining the times). These numbers are then multiplied against another signal. *USUALLY* the env signal is multiplied with the audio signal (osc or otherwise) to create a sound that has a natural rise and fall. Think logically now, what happens when you multiply a number by 0. Now what happens when you multiply it by 1. Now what happens if you multiply somewhere in between there. Envelopes multiplied by a signal will give you that same signal scaled over time as if someone were turning the signal up and down. Envelope, nice name for it, don't you think?
anyway, hope some of this helps. I may also chime in again later with some more fun.
In the mean time, if you're super interested in learning what's going on from a fundamental level, do some searching around for the term "modular synthesis." This is basically the craft of piecing together various synth modules to make a specific sound (this is usually constrained quite a bit in most synthesizers, since truly modular synthesizers can be very very daunting to the beginner, but learning modular synthesis will help you better understand the parameters given in your synth of choice).
The Nord G2 Modular demo is free to download and will let you mess around in a modular environment. The interface is ugly as hell and the demo is limited to mono, but it gets the job done if you're just looking to learn.
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