Normal continent connections keep them similar to the vanilla game: raft connects east and west, two caves connect the west to death mountain, and there's a bridge to Maze Island in the east.
R+B Border Shuffle keeps the connections on the same continent, but allows the raft and maze island bridge to appear on any border of the map, instead of the normal positions.
Transportation Shuffle keeps the same connections between continents, but randomizes the mode of transportation used. For example, there's typically a raft connection between west and east, but with this option on it may be a cave or bridge connection between west and east instead.
Anything goes allows continent connections to appear in an position and allows continents to be connected in any way. The Maze Island bridge might connect death mountain to the west, for example.
Note that when vanila maps are used, their continent connectors will be the same as they were in vanilla. So if you have a vanilla western continent, for example, it will contain a raft spot as well as two caves that will take you to other continents.