White balance is the setting to determine the 'colour temperature' of the scene. Our eyes see most white light as just white, but it is made up of varying proportions of other colours, principally yellow (tungsten or incandescent lights), blue (mercury & some halogen lights) and greenish tints (fluorescent lights).
If you shoot under the wrong color balance, the image will have a colour cast to it. For example, if you shoot tungsten WB in daylight, the image will be very blue, if you shoot daylight WB under tungsten light, the image will be very yellow.
Auto WB is usually pretty good at getting it right - where it may fail is when you have mixed light sources, like fluorescent & daylight. You can, of course, deliberately set the wrong WB for funky colour effects.
ISO is the sensitivity of the sensor to light. The higher you have this set, the faster your shutter speed can be or you can shoot with a smaller aperture. The downside is that setting it high reduces image quality (you get more 'noise').
Exposure compensation is for you to manually override what the camera thinks is the correct exposure - this is quite a powerful tool if you have no other means of exposure control. Setting it to -EV will underexpose the image, setting it to +EV will overexpose.
An example of where this can be used is shooting with ambient light + flash. If your subject is outdoors, the sky can sometimes look very pale or even 'blown out'. You should be able to underexpose the ambient light slightly (-EV) which will give you richer colours in the sky, and then use fill flash to expose your subject correctly.