Those are all web programming languages, also known as scripting languages. PHP is the most commonly used and available for web hosting, followed by Perl (which is what's used most of the time when you see the phrase CGI or cgi-bin).
What language is used to code web software doesn't really matter, as long as your web host supports the language. In addition to PHP and Perl, many hosts are starting to offer support for Python and Ruby on Rails.
From a security standpoint, poorly coded PHP can potentially be a nightmare for any server admin or website owner. There are many security flaws in PHP that a hacker can exploit, and those are only worsened when a PHP script is written badly.
There are several very important things you should always remember when experimenting with web software.
First of all, you should only use web software if you've read a lot about it and found out other people's opinions of the software.
Any time you upload or install software to your hosting account, you're giving the program free reign to do just about anything within your web space or possibly even the whole server. You should only install trusted software.
Second, you should always make sure that all your web software is kept as up to date as possible. The more time that passes after a software is released, the more time a hacker or some other malicious person has to examine the code and find a way to exploit it.
Third, no matter how much you trust the software and keep it up to date, it still may run inefficiently. If it frequently uses up too much of the server's resources, your hosting provider may suspend your account, or at least ask you to remove the software.
And finally, just in case something bad happens, you should always remember to take complete backups of your account on a regular basis. For advice on backups, watch the tutorial later on in this series.