Components can be thought of as the objects that will be needed for a Blueprint object to fulfill its purpose. There are many types of Components that can be added to a Blueprint. For example, if you know your Blueprint will need some sort of polygonal mesh to help define it, then you can add a Static Mesh Component. If your Blueprint object needs to emit light, you can add a Point Light Component or perhaps a Spot Light Component.
In this example, we see a series of Blueprint Actors, each showing some of the available Components.