From the states tab it's possible to add new states, and rename and delete existing states. It is also possible to set a particular state to be the initial state that new content is set to when created.
The list of existing states also displays each state's title and all the possible transitions from that state (and their titles). You can go straight to the details of each state and transition from here.
Within a state's properties tab you can set the title, description, and the transitions that are possible from this state from a list of all the available transitions created in the workflow's transitions tab.
In the state's permissions tab, you can set up the roles to permissions mappings that will apply to roles when content managed by this workflow is in this state. It uses the usual cookie cutter approach as do all other permissions tabs, except that the only permissions listed are those that have been selected to be managed by the workflow from the workflow's permissions tab.
A good strategy for managing permissions on each state is to rely on acquisition for the "published" states, and to drop acquisition and use explicit permissions on states that are private or interim publishing states. This way, you can modify the access policy to "published" content at the site root or for specific folders without having to modify each workflow's set of "published" states.
[Note: The available roles in the permissions tab will be whatever is acquired from the site root, so I guess creating roles under sub-folders ought to be discouraged if people want to use them in workflows]
Reviewer roles should either have view permissions on every state or you should change the appropriate skins to take them somewhere sensible after a transition or they'll end up with an ugly access denied page after sending content back to private state.
In the state's variables tab, you can add, change and delete variables that you want to assign a value to when objects move into this state. The available variables are set in the workflow's variables tab, and the value is a TALES expression (see Expressions for more details).