These are the files that contain the actual data for the game.
Vol files (VOL.*): These files contain the resources. They are stored one after the other in the file, with a small header at the start of each resource identifying its size.
Directory files (LOGDIR, PICDIR, VIEWDIR, SNDDIR): These store the locations of each resource in the VOL files.
OBJECT and WORDS.TOK: See data used by AGI section
In version 3, the VOL files have the game ID in front of them (e.g. KQ4VOL.0) and all the directory files are combined into one file (e.g. KQ4DIR)
If you want to know the format of these files, check out AGI Specs.
These are the files used by Sierra's original DOS interpreter. Other interpreters (there are two in progress at the time of writing) will use different files.
AGI: The interpreter itself
AGIDATA.OVL: Data used by the interpreter
Other .OVL files: Graphics drivers
SIERRA.COM: The loader file. Sometimes named after the game (e.g. SQ.COM). This loads the AGI file into memory, decrypts it, and then runs it.