The general thought is that a lead is someone you haven't had any formal contact with - maybe you got their name in a list or a card in a bucket or some other method where you haven't interacted with them. Opportunities are hybrid entities/Transactions assigned to Prospects (or customers) that represent the potential to do business when you have more information about a specific opportunity (hence the name). A prospect is a potential customer you've likely interacted with in some fashion that hasn't become a customer yet, but you know more about/have interacted with more than a lead. Creating an opportunity on a lead results in that lead auto converting to a prospect. Creating a sales order on a prospect or lead converts them into a customer.