A bootloader is a piece of code that is executed before your operating system i.e. Android OS starts running. It contains instructions to boot the OS kernel and is extremely processor and motherboard specific. And your phone is not the only device with a bootloader!! It is a concept applicable to all systems with an OS, your PC and laptops too.
Recovery in Android is similar to the recovery on your laptops. It is a dedicated bootable partition on your phone, that has the recovery console installed. It has options to let you repair your installation, and install official software updates. It might come handy if your brick your phone.
Backup means keeping a copy of all the data on your phone, including contacts, call logs ,sms and app data, so that you wont loose them if you have to go for a hard reset. There are many data backup apps available in the google playstore. Also there are options to backup data online or to your PC/ laptop.
Android Debug Bridge (ADB) is a command line tool. It helps you to communicate to your android device or emulator.
Android SDK provides you the API libraries and developer tools necessary to build, test, and debug apps for Android.