The Send/Return jacks would be your effects loop.
What it does is, it allows your effects to take part in your signal in between the preamp and the poweramp section.
You get more flexibility because some effects can sound worlds apart whether it's placed in the loop or with your guitar signal before the preamp. Namely modulation and time based effects generally sound better, but since how "good" effects sounds is purely preference based, therefore when I mean better, it's what most people agree to, whom some don't, so be sure to try it yourself.

Gain would be the ratio of output with respect to the input of the signal. Higher gain = louder volume, but it'll also distort more (not gonna put the details). So generally, higher gain = more distortion = more suitable for heavier music genres like metal and hard rock. But don't be mistaken, even with high gain, some amps can still handle low gain situations and sound great!

Cheers, hope this helps.