All three are about constrained-choice fields, but they sit at different levels.
A Picklist is a single-value dropdown — a field where the user picks one option. Standard fields like Industry, Lead Source, Stage are picklists.
A Multi-Select Picklist lets the user pick multiple values. Stored internally as a semicolon-delimited string (North;South;East). Multi-selects look convenient but cause real pain: you can't filter or report by individual values cleanly, formula support is limited, and it's a known gotcha for integrations because the order of values isn't deterministic.
A Picklist Value Set is a reusable list of values defined once at the org level (Setup -> Picklist Value Sets) and referenced by multiple picklist fields. Edit the value set once, and all referencing picklists update — vs maintaining the same list of countries on three different fields and watching them drift apart.
A Global Picklist Value Set is the modern term for the same concept — one source of truth for a list of values, used by many fields on many objects.
Practical guidance:
- Use single-select picklists wherever possible. Multi-selects are "I'll regret this later" land.
- For lists used in more than one place (countries, states, regions, departments), use a Global Picklist Value Set.
- Restrict the field to only its picklist values — this prevents API integrations from sending unmapped values.