Volume pedal is to control the volume of your guitar. Some guitars have volume knobs which are out of reach so the volume pedal comes in handy.
Wah pedal is to make that 'Wah' 'Wah' sound for your guitar. Jimi Hendrix uses it in his tracks. You try hearing Enter Sandman- Metallica when Kirk plays the solo using the wah pedal.
Expression pedals is actually the collective name for wah and volume pedal.