A QWidget is the base class for all drawable classes in Qt. Any QWidget-based class can be shown as a window by showing it when it has no parent.
A QDialog is based on QWidget, but designed to be shown as a window. It will always appear in a window, and has functions to make it work well with common buttons on dialogs (accept, reject, etc.).
QMainWindow is designed around common needs for a main window to have. It has predefined places for a menu bar, a status bar, a toolbar, and other widgets. It does not have any built-in allowances for buttons like QDialog does.