The OLE DB Provider for ODBC allows you to use a single OLE DB provider to connect to multiple data sources (Oracle, SQL Server etc).
The OLEDB Provider for SQL Server is Microsoft's native SQL Server provider, used only to connect to SQL Server. This should be used instead of the OLE DB Provider for ODBC when connecting to SQL Server since the OLE DB Provider for ODBC provider entails more administrative overhead that the native OLE DB Provider for SQL Server.
SQL Native Client is the new data access technology new to SQL Server 2005. It is a stand-alone data access API that is used for both ODBC and OLE DB. It combines both the SQL Server OLE DB provider and the SQL ODBC driver into a single DLL, yet still providing new functionality over that which is found in MDAC. It also supports all the new features found in SQL Server 2005 such as the native XML data type.