1. liability: state required 30/60, usual upper limits 250/500. The first number (in thousands) is per person, and the second per incident. Liability covers property damage and injury to others when you're at fault.
2. collision: covers up to the replacement value of the car for collision damage when you're at fault (when somebody else is at fault, their insurance, if any, covers damage to your vehicle). If your car is older than 7-8 years, you probably don't want collision coverage - you self-insure more or less for the residual value of the car.
3. uninsured motorist: covers damage and injury to you or your car or property when someone else is at fault, and they are uninsured.
4. comprehensive: covers fire or storm damage (tree falls on car), burglary, theft, and other things that damage the car other than collision (does not cover mechanical breakdown, however - you need a warranty for that).
5. umbrella: properly called "excess liability insurance", protects your assets against being sued. Umbrella usually covers not only your car, but also your home and property. For example, you might kill someone with your car, or take out the corner of a building and bring it down. Ordinary automobile liability insurance is insufficient to protect you against these marginal risks.

Good insurance will include all of these coverages, and others as well (towing, rental vehicle, etc). If your driving record is good, and you drive a modest vehicle ($$$ as well as performance), good insurance isn't costly. My insurance has all of these coverages, my driving record is clear, I drive a Corvette, and insurance costs me $1700 per year, dropping about $100 per year as my car gets older, and I'm with the same insurance company longer. If my car were average cost, and not a performance vehicle, my insurance costs would be about half of what they are for full coverage. If you don't have full coverage auto insurance, you should get it as part of a comprehensive financial planning regimen.