What are......

Nav Hold = Holds the current heading you select via the heading bug or course bug. It also can coordinate with VOR's.

Yaw Damper = Not completely sure on this but I'm pretty sure it restricts the bank angle to a certain degree.

Back Course Hold = I really don't have a clue what that is, I've never even seen that before in FSX.

As for the switches in A/P:

Heading Hold = The autopilot holds the current heading you set using the heading bug on the A/P panel.

Autothrust = This allows the autopilot to control engine power, but you must set a speed in either knots or .mach for it to work.

Approach Hold = This your current approach angle etc all the way down to the runway for landing, it allows the autopilot to fly the ILS course.

Altitude = Holds the Altitude you set on the A/P panel.

Incline Level knob = Not a clue, if your meaning bank limit all that does is limit the bank angle the autopilot can use during a turn (Note 20degree's is standard)

Hope this helps, but I strongly recommend you go through the learning centre in FSX and read as much as you can, do all the tutorials, read read read! 😀

Just a few corrections/additions:
1. NAV hold- Maintains navigation course, either VOR or GPS for the autopilot(AP). Heading hold maintains selected heading.

2. Approach Hold- Arms the AP to intercept and maintain the localizer course during an ILS and will maintain the GS signal also.

3. Yaw damper- A device that is normally on and installed mostly in jet aircraft. It adds stability to the aircraft by preventing the dutch roll effect that can effect jet aircraft at high altitude.
➡ http://en.wikipedia.org/wiki/Yaw_damper

4. Back course hold- Same as Approach hold but use only on back course approaches. Allows the AP to track the BC signal which is the reverse of an ILS, very rarely used.
➡ http://stoenworks.com/Tutorials/ILS%20Back-Course%20Approaches.html
➡ LOC BC 17 chart KAZO

5. Incline Level knob-? More information needed.

Ohhh, nice one CRJ Capt, I don't use autopilot that much, only for holding altitude and course if it's a fairly long flight. I do everything manually, I even tune the radio's manually sometimes.