The default output from the link, the .exe file, contains all the results of the link and remains as an intermediate step for all other output formats. This is also the file that the debugger uses and understands, as it has debugging symbols, if they were compiled in.
The .sre file is a Motorola S-RECORD format image. PROM programmers are especially fond of this format.
The .scof file is a COFF file, like the .exe image, but much stripped. All relocation information, symbols, and unloaded sections are removed. This is a useful format for many targets that can take COFF files directly. The Cyclone board and the ISE board both are examples of targets that would use .scof files.