AMMO: Shows how much ammo is left in the weapon you are currently using. Some weapons use more than one shot at a time.
HEALTH: Shows what percent of your health is left. 200% is the maximum.
ARMS: Shows which weapons you have.
FRAGS: When in multi-player mode, this box is shown between the arms and the mug shot. Shows how many players you have killed. Every time you get killed a Frag will be subtracted.
MUG SHOT: The mug shot serves a couple of purposes. First, as your condition gets worse your face gets more and more mashed up. Second, if you get shot your face turns in the direction it came from.
ARMOR: Shows what percent your armor is at. 200% is the maximum.
KEYS: Shows which keys (also known as Keycards, or Skull Keys) you have collected.
AMMO CAPACITY: Shows how much ammo you have left in your guns, and how much they COULD hold if they were ever full. ;-)