Malted wheat is the stuff you will use most. Flaked and toasted wheat flakes are unmalted so you can only use in smaller amounts. Pretty sure you could use flaked and toasted wheat flakes interchangeably, just for some increased head retention.
If you're putting together one of your first grain orders, just getting malted wheat is good enough I would say.
I havent heard of roasted wheat, but likely something like Rob described, Midnight wheat or chocolate wheat type thing ... Just did a search and sounds like these are basically malted wheat that has been roasted to a degree