Facebook

is a popular free social networking website that allows registered users to create profiles, upload photos and video, send messages and keep in touch with friends, family and colleagues.  

Facebook Messenger can allow private 1-2-1 or group messages to be sent, known as Private Messages (PMs).

Snapchat

is a video messaging application.  Using the application, users can take photos, record videos, add text and drawings, and send them to a controlled list of recipients.

These sent photographs and videos are known as "Snaps".

Twitter

is an online news and social networking service where users post and interact with messages, known as "tweets."  Tweets can be shared and ‘loved’.  

Private messages can also be sent, known as Direct Messaging (DM).  You can only DM someone who follows you.

Instagram

is a mobile, desktop, and Internet-based photo-sharing application and service that allows users to share pictures and videos either publicly, or privately to pre-approved followers.  

It is owned by Facebook.