Berly and compiz are both window managers (the part of KDE in your case that draws frames around windows so you can move, resize, etc). You would use one or the other as Beryl is a fork of Compiz and therefore they both do the same job, albeit in an ever-so-slightly different way.
XGL and AIGLX are different methods for using OpenGL as an X Server (this is a bit simplified, but you get the idea). They both allow for cool effects because the features of openGL can be exploited by the window manager (Compiz or Beryl).
AIGLX is supposed to 'fit' better with X windows the XGl as XGL is kind of an extra layer that sits on top of your normal X configuration.
I use AIGLX and Beryl with Kubuntu and they are incredibly easy to set up, here's the guide: