The differences between date time zone handling
The Date module's documentation page describes the difference between the 5 options fairly well.

From that page:

There are 5 different options for field Time zone handling:


Site's time zone - When entering data into the field, the data entered is assumed to be in the site's time zone. When the data is saved to the database, it is converted to UTC. When retrieved from the database, the data is converted to the Site's time zone for annonymous users or the User's time zone for logged in users when User-configurable time zones is enabled.
Date's time zone - With this option enabled, the date field adds a select box to explicitly specify the time zone for the date entered. When the date is saved to the database, it is not converted &amp; the time zone information is saved with the date. When retrieved from the database, no conversion is performed and the date is displayed exactly as entered.
User's time zone - When entering data into the field, the data entered is assumed to be in the user's time zone. When the data is saved to the database, it is converted to UTC. When retrieved from the database, the data is converted to the Site's time zone for annonymous users or the User's time zone for logged in users when User-configurable time zones is enabled.
UTC - When entering data into the field, the data entered is assumed to be in UTC time zone. When the data is saved to the database, it is converted to UTC (e.g. no conversion necessary). When retrieved from the database, the data is converted to the Site's time zone for annonymous users or the User's time zone for logged in users when User-configurable time zones is enabled.
No time zone conversion - The date entered is not converted when saved to the database. When retrieved from the database, the data is NOT converted and is displayed exactly as entered.