4Hi vs 4Lo vs 2Hi - 4X4 Offroad Testing

What's the difference between 4Hi, 4Lo, and 2Hi? When should I use 4Lo? When should I use 4hi? How does a transfer case work? Do I need to be in neutral to shift into 4Lo? What are the steps necessary to shift into 4Lo? This video features the 2016 Toyota Tacoma TRD Sport, with the various driving modes required. 4Hi, 4Lo, 2Hi, and an Auto LSD.