As VirginiaBob said, buying a bond fund from Vanguard is probably going to be a much better option for you.
To answer your question though:
The Zero Percent C of I is a certifcate of indebtedness, basically just a note that says the treasury owes you money. It earns no interest. It basically just represents money in your account at the treasury that you haven't used to buy bonds yet.
The bills are all zero-coupon bonds. That is, you buy them for slightly less than par (face value), and then when they mature the treasury pays you back face value. The interest you earn is in the form of the difference between what you bought it for and the face value of the bill.
The various duration notes and 30-year bond are all traditional bonds. You buy them for face value, and they periodically (I believe every six months) pay you a coupon, whose rate is determined by auction. Once they mature the treasury will then pay you back the face value, which is the same as what you bought it for. Your interest is received in the form of the coupon payments.
The TIPS are inflation-protected bonds. The coupon they pay is indexed to the CPI. I don't know the exact formula they use off the top of my head.
I also don't know what the FRN is off the top of my head.
The savings bonds are a totally different beast. Unlike all the rest of the things in the list, which are bought at auction, savings bonds are bought directly. I don't know what the exact terms are at the moment, but in general they're not spectacular. Note, when I say everything else is bought at auction, you won't actually be bidding on it. Large institutional players bid in the auction, and everyone who didn't bid gets their purchase price set based on the outcome of the auction.
Last I checked Treasury Direct doesn't provide any access to the secondary market. So if you, for example, bought a 7-year note through Treasury Direct, you're stuck holding it for 7 years. If you really wanted to get rid of it earlier you would have to transfer it to a brokerage account somewhere else to sell on the secondary market.