bash is a shell, not a terminal (I don't quite understand the differences in shells, but there is alot of info on them if you care to look at the how-to)
terminal is basically the Xterm, Eterm, Console whatever you want to use to do command line stuff.
X terminal is any of the Xterminals:
Xterm, Aterm, Eterm, RXVT (or whatever it's called
They basically are terminal emulators, the actual terminal is if you CTRL ALT F2 or F3 or whatever.
root Xterm is simply a terminal with Root's abilities.