To find your CPU's temperature sensor you can leave your system idle for a few minutes, to let temperatures drop, and then go to 100% usage for a while. The temperature that rises faster is the one you're searching for. Other available temperature readings usually come from your sensor chip itself, from the southbridge, the voltage regulator, or even from an additional probe placed under the processor. This additional temperature sensor is not necessarily a duplicate. Some CPUs are not actually able to report the internal temperature from their die. To be able to read their temperatures, an additional external sensor (thermocouple) is used. In such cases, you will see two temperatures referring to the processor. The higher of the two is from the die. As a final note, please remember that not all available temperature sensors are actually connected to something. If you happen to read unusually high or low temps, they are likely to be from a disconnected (unused) temperature sensor.

Fan speed control is achieved by accessing some features available in some hardware monitor chip or some other special hardware. These chips might be able to controls fan speeds. They usually do this by using PWM output. A PWM digital ouput is a digital signal that alternates some levels very fast, thus simulating some intermediate average level. The net result is a perceived average voltage lower than the usual one. Please note that some chips (very few of them) are able to lower the voltage without PWM simulation.
The fans, on the other hand, can report their speeds (RPM) by using some internal sensors that report how often some current flows between two plates. Fans are built assuming nominal voltages and a continuous signal. When voltages are lowered or modulated through PWM, some fans are no longer able to properly trigger when those plates face each other and resulting fan speeds may show odd values. SpeedFan works flawlessly even in such situations.

Hardware sensor chips are generic devices that can be used to measure voltages from anywhere. The measured voltage must be converted to the range required by the sensor chip. Standard monitoring chips specify which external circuitry must be used in order to measure voltages outside some range. Voltages like 12V, -5V, -12V and some others need this external circuitry. Some manufacturers chose not to follow datasheets. If this is your case, then you will read unusual values from SpeedFan. Since this custom circuitry is not known, SpeedFan does not try to "guess" it as any reading wouldn't be safe. If you get really odd voltage readings, simply enter configuration and uncheck the relevant ones.

This can occasionally happen if you have an nVidia video card and you are using some software combination. Due to the lack of documentation, the only option is to use the /NONVIDIAI2C command line switch when running SpeedFan. You can find further info about it in this article.

S.M.A.R.T. (or SMART) is a technology built into recent hard disks. If enabled, it lets the end user query the hard drive about its health and, eventually, performances. The end user (you) can access such info by using some specific software. SpeedFan can query those info for you. SMART reports, for example, if the hard disk has been used for too much time (thus reaching its expected end of life), or if it took too many attempts to start spinning, or even if too many read errors occurred. About every modern hard disk can report its temperature this way. They do have a temperature sensor that might be located inside the enclosure or somewhere outside it.
Please, note that SF might inform you that a reboot is needed in order to support SMART on your PC.

I asked for datasheets to some manufacturers, but with slow or no answer at all. Anyhow: since version 3.00 I'm ready to, easily, add support for new chips. I've got several chips to add. I will start adding detection for them: if you will get a message saying "PLEASE REPORT", please contact me and I will add support for it in a few days :-)

Even though the sensor chip might be able to change fan speeds, the hardware manufacturer still has to include some external circuitry. This is not always included. I'm able to know if a motherboard can change fan speeds, but not if it is unable for sure. You might try to contact the hardware manufacturer and let me know.