Orchard modules are types of extensions. They are designed to extend Orchard's functionality in any way you can imagine.
Modules can have multiple features: features can be independently switched on or off (you have to decorate classes corresponding to a specific feature with the
OrchardFeature attribute). Actually what you can enable or disable from the admin UI are features, not modules. However, each module has at least one feature, what has the same ID as the module itself (i.e. the .csproj file's name).
Features can depend on each other (not just on features of the same module but also on features of other modules); this dependency is declared in the Module.txt file (more info about it in the Docs), the manifest of the module. You can only enable a feature if all of its dependencies are installed (and if they are not already enabled, they will be when you enable the feature depending on them).
This page and many others here are part of the open source, portable package of Orchard goodies: the Orchard Dojo Library. The Library is freely accessible by anyone; just go to its repository to download its full content (you can even download the textual content of the Library as a big concatenated document in HTML), file issues or fork it! You can even edit it online on Bitbucket, just click on the Edit link in the upper right corner!