Thin is like water, it is good for soaking into wood for strength and wicking into closed areas that need gluing (like CA hinges)
Medium is thicker and good for general assembly like gluing together a kit (not to be used in high stress areas like landing gear blocks and firewalls, epoxy should be used for that)
Thick is for filling in gaps (I prefer wood filler or spot putty for this)
PS; Thin sets quicker than medium or thick.