Import - adds private key(s) into the current keystore (NOTE: This is NOT currently possible with Electrum HD wallets)... you need to create a wallet using "private" keys as opposed to using a "seed".
Export - Outputs private key(s) (usually in
"Wallet Import Format" aka WIF, long hex string that starts with a "5", "K" or "L") eg. 5HueCGU8rMjxEXxiPuD5BDku4MkFqeZyd4dZ1jvhTVqvbTLvyTJ
Sweep - Sends the coins controlled by private key(s), to another address (can theoretically be ANY adddress, you don't have to sweep into your Electrum wallet)... effectively it is just a "normal" transaction, but you need to enter the private key(s) for the addresses being used as inputs. Usually (but not only) used to send the contents of a "paper" wallet to a different wallet without having to first import the paper wallet.