Page -- Takes the specified XAML file, and compiles into BAML, and embeds that output into the managed resource stream for your assembly (specifically AssemblyName.g.resources), Additionally, if you have the appropriate attributes on the root XAML element in the file, it will create a blah.g.cs file, which will contain a partial class of the "codebehind" for that page; this basically involves a call to the BAML goop to re-hydrate the file into memory, and to set any of the member variables of your class to the now-created items (e.g. if you put x:Name="foo" on an item, you'll be able to do this.foo.Background = Purple; or similar.
ApplicationDefinition -- similar to Page, except it goes onestep furthur, and defines the entry point for your application that will instantiate your app object, call run on it, which will then instantiate the type set by the StartupUri property, and will give your mainwindow.
Also, to be clear, this question overall is infinate in it's results set; anyone can define additional BuildActions just by building an MSBuild Task. If you look in the %systemroot%\Microsoft.net\framework\v{version}\ directory, and look at the Microsoft.Common.targets file, you should be able to decipher many more (example, with VS Pro and above, there is a "Shadow" action that allows you generate private accessors to help with unit testing private classes.