Usually GH and KH are sold together as test kits. KH and dH are parts of the same thing. KH is Carbonate hardness and dH is the measurement of it in degrees. dH is also the measurement of GH in degrees or degrees of hardness. For example, the KH in my tank is 4 dH and the GH is 7 dh.
As for what is important, it depends on whether you want plants or not and what types of fish you keep. For example, KH tends to be more important in a planted tank, but GH and more so, pH is important for both a planted or strickly fish based tank. pH will matter with respect to the type of fish you keepl Some tolerate lower (Raspboras) or higher (Swordtails) level and range of pH levels, but you will find it stated on this board frequently that a stable pH is more beneficial than fluctuations in an attempt to reach the "perfect" pH.
Ammonia, Nitrites and Nitrates are important, but will vary depending on what stage of cycling your tank is in or if it is already established. Ammonia and Nitrites will be more important in a tank just beginning or early in the cycling process as the ammonia is turned into nitrites by the bacteria that forms over time. Subsequently, the nitrites are turned into nitrates as other bacteria forms to make that transformation as the cycling process proceeds. Eventually, in an established tank, you will find yourself focusing more on Nitrates than Nitrites and Ammonia.