All three names describe proxies, but they operate differently and aren't interchangeable for every task. Picking the wrong one is the most common reason a proxy 'doesn't work' for someone.
HTTP proxies
An HTTP proxy understands and can read standard web traffic. It's fine for plain browsing and simple scraping of non-encrypted pages, but it can't handle traffic that isn't HTTP, and it may not support HTTPS destinations properly depending on configuration.
HTTPS proxies
An HTTPS proxy (sometimes called an HTTP proxy with SSL support) can tunnel encrypted traffic, which is what almost every modern website requires. If you need to browse or scrape regular websites today, this is the baseline you actually need.
SOCKS5 proxies
SOCKS5 operates at a lower network level and doesn't care what kind of traffic it's carrying. It works for web browsing, email clients, torrent traffic, gaming, and more. It's more flexible than HTTP/HTTPS proxies but doesn't do any HTTP-specific optimization, so it's not always faster.
Which to pick
For general web scraping and browsing, an HTTPS-capable proxy covers most needs. If you're routing non-web traffic or want one proxy type for everything, SOCKS5 is the more universal choice.