I work at a wire and cable distributor and we get calls like this all the time. There are very slight differences between these wires and almost no difference at all. All three are types of single conductor electrical wire and the four letters are just approvals that the wire went through.
THHN wire stands for Thermoplastic High Heat Resistant Nylon which is fully approved and stamped on the wire. THWN is a different approval that came long after THHN and South Wire used to make two separate wires with the different approvals. Now they just make one wire and dual rate it with both approvals. THWN stands for Thermoplastic Heat and Water Resistant Nylon which just adds that it’s water resistant. So manufacturers just started to dual rate the THHN wire for both so that they didn’t have to run two separate wires every time.
TFFN is only used on 16 and 18 awg wire. It stands for Thermoplastic Flexible Fixture Wire Nylon which is slightly different than the THHN wire because it has a lower heat resistance and it’s not good for wet locations. You can’t even get TFFN in any bigger awg sizes because they’re all dual rated THHN and THWN.
All of these types of wire fall under the electrical wire category and they’re sometimes called building wire as well. The reason is electrical contractors use it and most of the time in buildings and homes. Romex is made with THHN conductors and a ground wire so that you can pull two or three wires through a home or building at once. Talk to your sales person about the type of wire you need because they use it and discuss it everyday and may have knowledge that you don’t.
Be careful because not all manufacturers will dual rate the wire just because South Wire does. They will look for ways to be cheaper and faster without the thoughts of their customers. make sure you ask if your THHN is dual rated with THWN before buying it.