An intersection means that a particular object (in this case a SNP) belongs to both sets. A union would be an object that belongs to one or the other set. The complement is what is not in the first set but in the second set.

These things fall in the category of set theory, and wikipedia has some nice visual representations as venn diagrams for what this all means: Complement, symmetric difference, union, intersection

You would want to do these types of analyses to compare conditions of samples that you have SNPs for.