Part identification in this dimmer switch
The three pin device is a triac. It turns on the power going out to the bulb for only a fraction of the full AC sine wave. This particular triac is discussed here. 

The little flat 2 lead device is an surface mount chip capacitor. The capacitor forms the capacitor half of an RC circuit that controls the when the triac turns on during the AC wave and thus how much power gets out to the bulb. The resistor half of the RC circuit is the the black strip. A slider makes contact at different places along this strip when you move the switch paddle up and down.

The coil is an inductor. This helps to suppress the electrical noise generated by the triac switching. 

Here is a circuit similar to yours with some explanation on how it works...

http://www.electronics-lab.com/project/400va-ac-light-dimmer/