Conduction, Convection & Radiation

There are multiple ways heat can be transferred between objects. 

Conduction happens through solids, Convection through liquids, and Radiation through the air.

Let's start off with Conduction, first, we take a metal bar, since it is solid, the particles are very highly knit so it is very easy for it to transfer heat, so when we heat up the metal bar with a Bunsen burner, the particles start getting charged with kinetic energy causing them to move a lot and since they are so tightly knit the heat is transferred throughout the solid.

If you heat certain materials, you might notice that they can be heated to different temperatures. That is called "Thermal Conductivity." For example, metals have much higher thermal conductivity than plastic, which has very low thermal conductivity. 

Convection occurs when you heat up any liquid or gases.
The heat charges the particles with kinetic energy, causing them to move from the warmer regions to the colder regions.
When it is colder, the particles are less spread out than in the warmer regions.

That is why when you heat things up, they expand slightly, and when liquids or gases heat up, they become less dense because the particles are no longer near each other. 

This is why we wear blankets when we sleep in cold environments which keeps the warm air from our bodies from escaping the covers. 
And why do we have to close the windows and doors to keep the cold air from an air-cond from flowing out of our homes, or aircon's, oceans and heaters use a Convection Current to keep the fluids or air circulating.

The thing that convection and conduction have in common is that both have particles gaining kinetic energy, but what separates these is that only the energy is transferred while convection is that the particles move. 

Radiations are when energy is transferred via air or a vacuum, a good example of this is the sun's rays, which are transferred by solar radiation going through space which is a vacuum into our atmosphere, same with a microwave. 
Radiation travels using infrared waves, all objects absorb and emit radiation, how hot an object is and how much radiation it emits. Hence the sun and its heat, and why you cook food around it is hot.