Immediate Window is a great place for you to modify data or to test the function during development. You can enter valid expression in the Immediate window and VB will execute it. However objects referenced outside the scope of current code execution will generate an error.
Local Window enables you to see the value of every variable and each member of all the objects which are in current scope.
Watch Window enables you to monitor the value for a certain state. You might want the program execution to pause on an instruction that sets a certain date. You might want to set watch expression that cause VB to break when a variable changes its value or when an expression's value us True.