Enabled/Disabled is whether the trigger will actually do anything in game or not. It's useful for debugging, because if you suspect a trigger you can disable it without actually deleting your work.
Initially on means that the state of the trigger is on, as opposed to off. An initially off trigger won't react to any events until another triggers turns it on.
It's all in the help file, if you would actually read it.
I did actually read the help file... but it really didnt explain what I wanted to know. It gave just common sense info, but never really said what the differences were or the practical uses of any functions were... that kinda ticked me off.
Anyway... Alright, thanks. I can see the small difference now.
The help file is there to define functions, if you're looking for examples of ways to use the editor you should have a look at any one of the numerous tutorials spread about the web.
Esentially, if you think a trigger may not be working, you disable it and test. You can then leave it disabled until you find a fix.
Initially on, when off, acts as if the trigger is disabled but it can be enabled mid-game. Possibly used for things like RPGs, where you only want a certain trigger (say a boss battle trigger) to occur after all "the super secret items" are collected. This way it won't respond unless it's time for it too.