UEFI Application is an EFI image of the type
EFI_IMAGE_SUBSYSTEM_EFI_APPLICATION. This image is executed and automatically unloaded when the image exits or returns from its entry point.
OS loader is a special type of application that normally does not return or exit. Instead, it calls the EFI Boot Service gBS->ExitBootServices() to transfer control of the platform from the firmware to an operating system.
The EFI Shell is a special EFI application that provides the user with a command-line interface.