Hi Gavin,
The SQL agent will run Online backups of your SQL databases. It is an online backup of the mdf and ldf files associated with SQL.
The Sharepoint agent will backup all of the Sharepoint farm components, this is an online backup as well so it is hard to state what folders and files will be backed up.
Shadow Copy includes a copy of the Event logs, WMI and Background Intelligent Service also it will include user data such as Sqlserverwriters.
The System state will include COM settings, IIS, Registry and other System files.
Please let me know if this answers your questions.
Thanks.
Patty