Balanced allows the CPU to clock down to low speed when it's idle (reducing heat and power usage), but will go back to full speed when needed. High Performance locks it at full speed (bit pointless, unless you're overclocking), and Power Saver stops the CPU from reaching its full speed. You can change what % of its full speed it can attain in the extra settings.
Personally I'd always recommend Balanced. You get no practical performance loss, and it allows heat and power usage to be reduced a bit. You can tweak the settings for each plan further if you clock Change plan settings.