Data connectors, in the loosest definition possible, is simply a piece of software that moves data from one place to the other. This can be from database A to database B or (as in our case) from a given API into a database.
ETL stands for "Extract, Transform, Load", a process in which you get data from some place, clean it/do something with it, then store it into a desired destination. Probably this term is most frequently used in the context of data warehousing, in which you move data from one or more OLTP databases from the application side, into an OLAP database.
Finally, Snowflake is a very popular (and very cool) database focused on Data Warehousing needs.