Nazgűl = the Úlairi, the Ringwraiths, the Nine, etc. etc.
They are the nine lords of men who were ensnared by Sauron and the Nine Rings, who were bound to the One, who work for Mordor, who are evil, nasty, and scary.
All of the creatures you mentioned are the same (except the Winged Nazgűl aren't actually "winged"; they are on winged beasts). After the "Ringwraiths" were scattered at the Fords of Bruinen, they returned to Mordor and got their new mounts (the flying things). One of the mounts was killed over Anduin by Legolas. The Nazgűl afterwards were used as messengers to Isengard, warriors over the Pelannor, and watchers of the Host of Gondor before they perished when the Ring was destroyed.
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