What are the differences between an OBS, a CDI, a Heading indicator, and an HSI?
Check out this manual from the FAA on flight instruments

Heading Indicator: 

The heading indicator is fundamentally a mechanical
instrument designed to facilitate the use of the magnetic
compass. Errors in the magnetic compass are numerous,
making straight flight and precision turns to headings difficult
to accomplish, particularly in turbulent air. A heading
indicator, however, is not affected by the forces that make
the magnetic compass difficult to interpret.

Heading Indicators are not VOR related. They simple provide an alternative to the compass and are generally used when the compass reading may be inaccurate (non straight and level flight). Due to their functionality they need to be periodically aligned with the compass.

Course Deviation Indicator: 

A course deviation indicator (CDI) is an avionics instrument used in aircraft navigation to determine an aircraft's lateral position in relation to a course. If the location of the aircraft is to the left of course, the needle deflects to the right, and vice versa.

The OBS (Omni Bearing Selector) knob is on the CDI, it is not its own instrument. The knob allows the selection (via the outer ring) of the radial (course) you wish to track from a VOR ground station. When tracking a radial you only track left/right deviation and thus only a single needle is required (the first picture you have). For instrument flying you also need to track the glide slope for an approach and thus vertical deviation may also be displayed on a CDI. When on an instrument approach the CDI is used to track the left/right deviation from the runway (not a VOR).

Horizontal Situation Indicator (HSI):  
Is a CDI and Heading Indicator packed into one unit. it provides both left right deviation along with glide slope information as well as heading indication in turns. Many HSI's are coupled to auto pilots and may allow course selection via a heading knob if they are connected to do so. The HSI is not any more advanced than the sum of its counter parts but it is more complex and to a new pilot may be hard to read.