Selector
A selector is the name of a method. You're very familiar with these selectors: "alloc", "init", "release", "dictionaryWithObjectsAndKeys:", "setObject:forKey:", etc. Note that the colon is part of the selector; it's how we identify that this method requires parameters. Also (though it's extremely rare), you can have selectors like "doFoo:". This is a method that takes three parameters, and you'd invoke it like "someObject doFoo:arg1 :arg2 :arg3". There's no requirement that there be letters before each part of the selector components. As I said, this is extremely rare, and you will not find it used in the Cocoa frameworks. You can work with selectors directly in Cocoa. They have the type "SEL: SEL aSelector = @selector(doSomething:)" or "SEL aSelector = NSSelectorFromString(@"doSomething:");".
Message
A message is a selector and the arguments you are sending with it. If I say "dictionary setObject:obj forKey:key", then the "message" is the selector "setObject:forKey:" plus the arguments obj and key. Messages can be encapsulated in an NSInvocation object for later invocation. Messages are sent to a receiver. (ie, the object that "receives" the message).
Method
A method is a combination of a selector and an implementation (and accompanying metadata). The "implementation" is the actual block of code; it's a function pointer (an IMP). An actual method can be retrieved internally using a Method struct (retrievable from the runtime).
Method Signature
A method signature represents the data types returned by and accepted by a method. They can be represented at runtime via an NSMethodSignature and (in some cases) a raw char*.