The Media Settings allows you to control how your media is displayed. These settings can be found on the Settings -> Media page.
Image sizes allows you to change the maximum dimensions of images that are displayed on posts and pages. When setting a thumbnail size, the image will be cropped and resized to the setting. Medium and large images will keep the dimension proportions, taking the maximum width and height into account.
Some of the previous settings for defaults have been removed. WordPress will now save the state of those settings from the last time you used them. For example, if you last inserted a full size image, that option will be set the next time you insert an image.
Auto-Embeds gives you the option to show a video player instead of just a plain text URL. You can also specify the maximum size for the player.
Uploading Files allows you to select where images will be uplaoded. By default, images are in
wp-content/uploads, and separated into folders for months, within folders for years.