Since you haven't supplied much detail, I'll have to use nonspecific examples based on typical installation methods.
Furnace and Condensing unit
If you have a setup where you have a furnace, and an outdoor condensing unit. The wiring will be similar to this (Note: This is a basic overview, not actual wiring).
Basically, the R wire provides power to the thermostat. W, Y and G are energized depending on the state of the thermostat. For example. If the thermostat is set to the COOL mode, and the temperature in the room is above the set point. The Y and G terminals of the thermostat will be energized. This tells the furnace to turn on the blower at high speed, and the condensing unit to turn on. Alternatively, if the thermostat is set to the HEAT mode, and the temperature in the room is below the set point. The W terminal will be energized, which tells the furnace to turn on.
Heat Pump
If you have a heat pump, the wiring will be similar to this.
Here the R wire again provides power to the thermostat. This type of setup uses either an O, B, or O/B terminals to change the state of the reversing valve in the heat pump. In this type of setup, the thermostat works similar to the example above, though it also has to manage an extra terminal.
Some thermostats offer both an O and a B terminal.
When the thermostat is in COOL mode and calls for cool, the O terminal will be energized. If you have a system where the reversing valve is normally in HEAT mode, you'll use the O terminal to move the reversing valve to COOL mode. When the thermostat is in HEAT mode and calls for heat, the B terminal will be energized. If you have a system where the reversing valve is normally in COOL mode, you'll use the B terminal to move the reversing valve to HEAT mode.
Some thermostats offer and O/B terminal, and will have a jumper to select which function it provides.
In this case, you'll set the jumper based on the type of system you have. Then when the thermostat calls for heat or cool, the O/B terminal will be energized appropriately.
For more information on the C terminal, please see this answer.
Best Answer
All furnace control boards will control the additional features that they come with (such as variable speed, or multi-stage heating and cooling)
The terminals on the thermostat will correspond with the furnace control board terminals. The furnace may have more connections than the thermostat, but most are not used or required.
For example with multi-staging furnaces you will normally see these terminals on the board. Most additional ones are to be used with 2 stage thermostats (such as w2 and y2). This would require having an additional 2 wires at the thermostat to have this feature. What is commonly done because in most homes they will only use a 5-wire, is that using the dip switches on the furnace control board, you can control how many minutes it will take for the unit to switch from first stage, to second stage. On top of that, you can bypass first stage to have the unit kick on second stage right away.
|W/W1|W2|R|Y/Y1|Y2|G|C|DHUM-|DHUM+|
Some boards will have DHUM terminals on the board which will control optional indoor air quality ad-ons such as a Heat Recovery Ventilator.
Most new high end furnaces will come with, or have the option to be used my a communicating thermostat thermostat that the manufacturer sells. These systems will have endless amounts of options to set up. However the nest is not a communicating thermostat thermostat so you will not be able to use these functions if you have one of these furnaces. On top of that, you are only able to use that specific furnace manufactures communicating thermostat thermostats on each furnace.
These boards will normally have these terminals:
|W/W1|W2|R|Y/Y1|Y2|G|C|A|B|C|D|DHUM-|DHUM+|
The A, B, C, and D terminals will be all that is needed to hook up to the communicating thermostat, and will give you full functionality of all the furnaces options. It is very rare to ever use all of the terminals on the control board of the furnace.