direct record: records a sample while the sequence is playing, and gives you the option to assign the sample to a pad then insert a note-on event to your sequence to trigger that sound.
when you reach the end of a loop with direct record, it continues to record the sample while the sequence gets looped back to the beginning, allowing you to actually record a sample which overlaps from the end of your sequence to the beginning.. which audio tracks do not allow. that is a HUGE oversight on JJ's part.
direct record is also superior to audio tracks in that direct recorded samples work in song mode because they utilize mpc's capabilities the way they were intended, where samples are on pads and sequences trigger the pads.
continuous sample track: when a track is set to be the continuous sample track, you can hit play at any point in your sequence, and the samples on that track will begin playing mid-sample without having to wait for the next note-on event to be triggered. it essentially would turn the track into an audio track.