Updates usually can be divided into the following categories:
Detection updates and plugins: these updates are usually preselected when you use the updater, it is highly recommended to download them whenever there are updates available, since these are responsible for the detection rate. These are usually named Detection rules, Advanced detection library, Detection support library or Some plugin.
Localized updates: language files and localized product information. These files are not necessary if you use Spybot-S&D exclusively in English. If you use only one other language, you just need your local ones.
Beta updates: if you are willing to help us improve Spybot-S&D, you might download these as well. Do not forget the usual beta disclaimer though: there might be a bunch of new features, but there is also the risk of new bugs.
Malware documentation and help updates: as the name already indicates, these are for those who like to read up some information, on malware and on Spybot-S&D.
Full updates: rare, but when a new release comes out, it will usually be available through the updater.
The second and third option are not displayed by default; in version 1.4 you can enable these categories on the settings page, since version 1.5 there are two checkboxes for them on the start page of the new updater application.