I work at a wire and cable distributor and we get calls like this all the time. There are very slight differences between these cables and almost no difference at all. All three are single conductor electrical cable types and the four letters are just approvals the cable went through.
THHN cable stands for High Heat Resistant Thermoplastic Nylon, which is fully approved and stamped into the cable. THWN is a different approval that came about long after THHN and South Wire manufactured two separate cables with different approvals. Now they only make one cable and double rate it with both approvals. THWN stands for Heat and Water Resistant Thermoplastic Nylon, which just adds that it is waterproof. Therefore, manufacturers began to qualify two THHN cables for both, so that they did not have to use two separate cables each time.
TFFN is only used on 16 and 18 AWG wire. It stands for thermoplastic flexible fixing wire nylon, which is slightly different than THHN wire because it has a lower heat resistance and is not good for wet locations. You can’t even get TFFN in larger AWG sizes because they are all dual THHN and THWN rated.
All of these types of cables fall under the category of electrical cables and are sometimes also called building cables. The reason is that electrical contractors use it and most of the time in buildings and houses. Romex is made with THHN conductors and a ground wire so you can run two or three wires through a house or building at once. Talk to your salesperson about the type of cable you need because they use it and discuss it every day and they may know you don’t.
Beware that not all manufacturers will rate cable at double rate just because South Wire does. They will look for ways to be cheaper and faster without thinking about their customers. be sure to ask if your THHN is dual rated with THWN before you buy.