Many of the Selection Tools have these four buttons. Left to right, they are;
New Selection - Click to cancel existing selection and create a new selection
Add to Selection - Add to any existing selections
Subtract from Selection - Remove from existing selections
Intersect with Selection - Create custom shapes

Anti-alias smooths out lines and edges.

Two circles were created with the Elliptical Marquee, then both were filled with black. The top circle was created without anti-alias, while the bottom circle was created with anti-alias.  The bottom circle, (with anti-alias), is smoother than the top circle, (without).

Anti-alias options exist in other tools as well. I recommend that where available, you turn on Anti-alias and leave it turned on. Anti-alias is only available for the Elliptical Marquee. It is not available for the other Elliptical Marquee Tool.

Style and Width & Height are linked. Width and Height are only available when either Fixed Ratio or Fixed Size are selected. When Normal is selected, Width & Height are greyed-out (unavailable).

Select and Mask is available on the Options Bar of most of the selection tools. It is also available from the menu: Select > Select and Mask...

Select and Mask is a very powerful tool that allows you to improve selections or layer masks. It comprises of several tools itself. It's such a a large and important subject that it has it's own dedicated tutorial.

This is such a large subject and essential skill for anyone using selections and layer masks in Photoshop.

There are different methods to create a round, or circle, selection.

Start making the selection, then press and hold the Shift key. Your selection will now be a circle.

Or, from the Options Bar you can select Fixed Ratio from the Style box, then select Fixed Ratio and enter 1 in each box.

Or, if you need a circle in specific dimensions, then select Fixed Size from the Style box, then enter the dimensions.

Regardless of which unit of measurement you have set in preferences (Edit > Preferences > Units & Rulers, you can type your preferred until after the number. For example 5cm, 50mm, 2in, 100px.

If you don't type the unit type, it will be entered as the unit specified in preferences.

Normally, when you click and drag a selection is made from corner to corner, depending on the direction you drag.

You can create a selection from the center, by pressing and holding the Alt key.

If you also press and hold the Shift key, you will draw a circle, from the center.

The Elliptical Marquee draws elliptical (oval) and round selections. It works just the same as the Rectangular Marquee.

Click and drag to create an ellipse, or hold down the Shift key to create a circle.

Hold down the Alt key while you click and drag to create an ellipse from the center. This can be useful in making a selection of a wheel, although it's not necessary, as it's easier to simply make an approximate selection, then edit it using Transform. I use this method a lot and I have a tutorial on transforming a rough selection of a wheel, here.

You can combine the rectangular and elliptical marquee tools. You can create separate selections, or combine them, or use them on any selection made by any tool, using the methods described above.