My understanding is:
Airplane Mode - turns off ALL the radios on the iPhone.... so, No Bluetooth, no Wifi, no 3G, no Phone. Basically, you have an ipod/PDA and that's it.
Data roaming mode - turning that off means that if you are roaming and get out of your carrier's coverage and get switched over to another carrier, you won't connect to their data service (so you don't run up per KB charges using a 3rd party's service.) This is probably more important in the EU and other countries than in the US.