I open Volume Control and I see controls to increase or decrease for things like Master, Headphone, Headphone1, Bass, Tremble, PCM, Surround, Center, LFE, Synth, Wave, ....

"Master" makes my speaker louder if I turn it up.
But "PCM" also does it. So is there a difference?

Yes...Master (as the name implies), controls volume for everything. PCM is for "Pulse Code Modulation"....sound files, essentially.

If you turn up Master volume, everything gets louder...headphones, CD, etc. PCM turns up the volume just for sound files, but CD volume would remain the same. Useful if you'd like MP3's to be louder than audio CD's.

In my experience this does not happen in practice. I use Creative Soundblaster Live! Value sound card that has two analog line out connectors and one digital out connector. I have not tested the digital connector, but Master, PCM and Wave all control Line out 1, also when playing CD by e.g. VLC. A control called Wave Surround controls the Line out 2. VLC and many other applications provide single software mixer that controls overall volume caused by the application (to at least both Line out 1 and Line out 2). This is how it works in Xubuntu 8.10 at least.