Marketcircle describes each of these as follows:
Worklist
This list is useful for collecting all Tasks that require your attention now. Across all your responsibilities, the Worklist gathers tasks you can complete now from the ones that have to wait, helping you to focus and get things done.
Inbox
The Inbox has been designed to capture all the Tasks that you create which have not been assigned to an Objective. Ideally, the Inbox should be empty, and it is a good idea to periodically sift through your Inbox and assign Tasks to the appropriate Tasks List. You can add a Task to a Tasks List by dragging and dropping, or by linking to a Project or Opportunity.