Normal - is the direction a polygon, edge or vertex is facing, the blue here lines here are the normals.
UV ... Unrwrapped Vertex (I think). A model is Unwrapped like the seams in clothing so an image can be projected onto the surface. The image projected for color is considered the Diffuse Texture. A Normal Map can also be used to show detailed geometry thats not in the actual Model. The normal map affects the lighting channel of a model, casting highlights and shadows according to the Image rather than the model Geometry. There are several other kinds of Image textures as well.
Baking is the process of putting the high-poly details and color onto the Textures of a Low-poly model. The Normal map is the best example here. A Zbrush model with millions of polygons has details like wrinkle skin, cracks, noise. The detail can then be projected onto a texture image (Normal map) so these details can be visible on the low-poly (lowest subdivision or retopologized model).
The whole idea here is to be able to use your Zbrush models in Games and Animation. Notice how long your Zbrush or Sculptris render takes! For a game you need 20+ Frames per Second. Your computer is figuring for Lighting, camera animaton, character animation, enemy characters animation, plus it communicating location across the internet and keeping score, health, time, etc .. So We project the details of a High Poly model onto a Low poly model that the game engine can handle. To get a better Idea, take a look at the Dominance War V challenge winners. Click on a few of them and scroll down. They show the Textures as well as the wire frame. And the limit for the challenge was 12,500 tris!! thats 6,000 quad polygons and about 6,000 vertices. The Pink and blue image is the Normal map. Some also have Specular and Opacity maps as well.
Sculptris exports the same format as Zbrush (.obj). Any software that can use Zbrush models can use Sculptris models. To see your paint though, you have to save your texture map! Click "Show advance tools" in Paint-mode, and save Texmap and save normals, then export your .obj. Blender, Wings3d, 3dsmax, and most others support the Microsoft Wavefront object (.obj) format. However, it's an old format, to view your textures and Normal map, you may have to assign them to your material manually in your other software. Sculptris Materials can be mimicked somewhat in Blender as well.