Funny names aren't they? They're all used to adapt the lighting from your flash.
A snoot is a tube that fits over the flash head with the other end open. This channels the flash light in to a small area. Often used for hairlighting in studio photography as well as many other things.
A cookie is something that you place in front of the flash to cast a shadow where the light falls. It's short for 'cookaloris' which is the technical name for it. It can be anything and different items can give you great effects.
A gobo is something that blocks light from one side of the flash head. Usually a piece of card or plastic attached to the side of the flash head to block light from hitting something in that direction. Say you were taking a sidelit portrait and wanted a black background - you could use a gobo on the side of the flash to keep the flash light from hitting the background.