Conduction, convection, and radiation are the three different ways energy can be transfered via heat. Conduction is when energy transfers from one molecule to the next via collisions. Imagine higher energy (greater temp) particles on the inside of a window bumping into their neighbors, when then bump in their neighbors and so on. Eventually some of the thermal energy from the warm side of the window, escapes on the cold side through these collisions. Convection is when a high energy particle literally moves from the a warmer area to a colder area, thus decreasing the thermal energy in the warmer area and increasing it the colder. Radiation is heat transfer electromagnetic waves and all objects with temperature greater than zero (Kelvin) radiate electromagntic waves - think night vision goggles that "see" thermal images.
This concept trailer from OpenStax motivates conduction, convection, and radiation through cooking.