Advisories are informational statements. They are a "heads up" that you may want to take the weather into account when planning your day. Examples are snow advisories in winter. They aren't dangerous, but they may make you change your travel plans.
Watches are issued when conditions are favorable for a severe weather event. When a watch is in effect for your area, you should begin preparing for any actions you may need to take should the severe weather event occur.
Warnings are issued when a severe weather event is occurring or is imminent. If a warning is issued for your area immediately take action. If it is a flood warning, get to higher ground. If it is a tornado warning, get to the lowest point in your home.