Scala.Null is the type of a "null" reference. It is a reference type none the less (and so an object of type Null can not be assigned to a value type variable like a Long, which is not a reference type). Think of it as an empty or invalid reference.
Scala.Nothing is a class that does not hold any value. You can use it to signal an empty result (instead of using null as you would do in many other languages). It is a subtype of any type in Scala (so you can assign a Nothing to any type variable).
Scala.Unit is what other languages might call a "void" data type: it represents the absence of any value. Consequently, "()" is a shorthand for an instance of this class (in fact, there is just one instance of this class).
All this is explained nicely in Martin Odersky's book "Programming in Scala".
