Welcome to the Forum! There is a FAQ section somewhere here.
There is also the HoI2 Wiki -
http://www.paradoxian.org/hoi2wiki/index.php/Main_Page
Until somebody shows up with better answers, i'll say an HQ is an important unit. When you assign a general to lead it, it doubles the Command Limit (which you'll see in game, by hovering over the modifiers a unit has in battle, IIRC if you go over the limit there is a whopping -75% to that units effectiveness - so don't give 20 divisions in a stack and leave a Major General to lead them all).
CAS (Close Air Support, think Stuka dive-bomber or Il-2 Sturmovik ground attack) are short range but cheap. Tactical bombers are medium range but a bit more expensive. Strategic bombers are long range and expensive. Which one you want depends on what you're aiming at (e.g. Enemy industry, enemy armies, enemy air fields?) and how much can you afford (e.g. are you Albania or the USA with tonnes of industry?), your air-doctrines, etc.
CAG is them planes what go on ships what have the flat rectangle on top. (i.e. carriers and i'll let a naval buff go on about them). But i do know it is very, very important that your aircraft carriers have aircraft (Carrier Air Group?).
