Split allows you to split a post or several posts from a topic and make a new topic.
For example, in this topic I could split off all the crap about tables into it's own topic, leaving just TPK's and your replies in this one.

Merge is the opposite of split. It lets you combine one topic with another. For example, where two topics are talking about the same thing you might just merge them into one.
But be careful! Merged topics have their posts in date order. So for example, say you have two topics each with three posts. Topic 1 has post A made on Jan 1, post B on Feb 1, and post C on Mar 1. Topic 2 has post A on Jan 15, B on Feb 15, and C on Feb 28.
You merge them (creating topic 3 with 6 posts, A-F). But 3A=1A, 3B=2A, 3C=1B, 3D=2B, 3E=2C, and 3F=1C.
So topic 3 is really confusing, with the 2nd post being totally separate from the 1st, the 3rd being a reply to the 1st, and the 6th being a reply to the 3rd.
The moral is, generally don't merge unless the topics are very new (ie, 0 or 1 replies) -- you're usually better off posting a link to the better thread and locking the original (if you can).
Split is safer, but try to only use it when their is genuinely a new subject being discussed, and it's best to post/edit links to the original and split threads into the split and original threads too so people can follow the context.