Forced induction = Turbocharger & Superchargers
A turbocharger relies on exhaust gas pressure to spin up an intake turbine, which creates a higher compression ratio inside the engine. These suffer from "turbo lag" because, to spin up the intkae turbine, an addex exhaust pressure needs to be there to spin up the exhaust turbine. http://www.howstuffworks.com/
Article about how turbochargers work is on the front page of hostuffworks.com right now. (direct article link)
a Supercharger is basically a belt driven turbocharger and dosn't put backpressure on the exhaust which is a good thing for high end torque, bad thing for low end torque.
Naturally Aspirated: (AKA: N/A)
Basically an air filter. Stock airfilter is an airbox with a rectangular filter.
Cone filters in the engine bay replace the airbox and are less restrictive, you need a heat-shield to prevent hot engine air fron being sucked into the intake.
Cold Air Intakes (CAI's) are basically an extension of a cone filter, the filter is placed somewhere away from the engine to suck up colder air, which allows the air to expand more when the fuel is burned, producing more power. In BMW's, usually the airfilter is placed in the front air-duct and a tube is ran from the engine's intake to the filter.
There has been talk of electric superchargers, (advantage is they remove load on the engine's belt system) but there isn't an electric engine powerful & small enough to provie an efficent ammount of thrust.