Ah well, I really love Japanese folklore and a lot of what i get is from the massive amount of anime and manga I watch/read so I'll share as much as i know! I can't exactly guarentee it's 100% right.
Yokai - monsters. You may also see "Ayakashi" used and they're the same thing. Ayakashi was the term used before the meji era and then Youkai after. I don't know why though.
Kami - Spirits/gods. its a difficult concept to explain. Basically Kami are spirits that live in elements of nature or other objects (like in tree and stuff) They can be worshiped as deitys though they are not gods in the western sense.
Tengu-they're typically mountain dwelling and control wind and lightning. There are two ways that they are dipicted: a human figure with a crow's head and wings, or a man with a red face and an extremely long nose with black wings. Either way, they generally dress the same.
Kappa -translates to river children or something like that. They're kind turtle-like with a bowl on their head to keep water in. They like cucumbers.
Yuki-Onna -Snow Woman
Shinigami-sort of equivalent of soul reapers in the west.
Shikigami-human-made spirits made by priests or others with strong spiritual power Generally they need some sort of physical token or something to be created, usually being a piece of paper
Kitsune-Fox demons/nine tailed fox. nine tailed foxes can control either fire or lightning They start off with one tail and gain one for every 100 years(i think) and can have up to 9 The more tails they have, the more powerful they are
Tenko-Heavenly fox (fox deity)
Tanuki-Racoon demon. They have a racoon form and can be fairly deceptive by taking other forms
Anyways, some good mangas that reference various yokai are: Tactics, Nura Clan: Rise of the Youkai, Inu x Boku ss and maybe xxxHolic a little. Also check out some folktales like the man who made cherry trees blossom.

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