coaxial are speakers that are "2 way" or "3 way" etc.
they have a main cone and also a smaller speaker(s), all mounted as one unit.
so 2 way would be a main cone, and a much smaller speaker mounted with it, usually infront.
heres a 5 way speaker, count all the different cones you can see
component speakers are a set of speakers which have a main cone, but the smaller speakers is seperate.
usually only sold with a main cone and a single "tweeter", and usually a "crossover/x-over".
heres a set, complete with x-over
you can see the main 2 speakers, the 2 smaller tweeters, and the 2 boxes are the x-overs.
the x-overs are used to split the signal into different frequncies.
the bigger cone will be suited to lower frequncies, whereas the tweeters will be better suited to higher frequncies.
the advantage of having seperate tweeters is that you can mount them on the dash instead of in the door with the main cone.
unless your mad into sounds and gonna do a big install, coaxial speakers are fine