Media, refers to either mechanical, chemical, or biological. They are all different parts of a filter.
Mechanical removes debris and particulates, as well as certain organics (in the case of carbon which some consider the smallest form of mechanical filtration as it adsorbs certain substances). The typical mechanical filter refers to filter socks, pads, sponges, etc.
Chemical filter media refers to media such as GFO, Phosguard, Purigen, Zeolite, etc. that remove substances such as phosphate, metals, nitrogenous waste, etc.
Biological filter media refers to substances that are designed to be highly porous as to act as a surface for nitrifying bacteria (or denitrifying in some cases) to live on. These bacterias live in surfaces, not the water column, and the greater the surface area of a surface (be that rock, ceramic rings, etc.) the greater the amount of bacteria that can be house in/on it.