Yes there is.
Recovery Mode is where you would load an update.zip file. Two ways to access: 1. from adb type: adb reboot recovery 2. Power and both volume button method.
Download Mode is where you would load roms and kernels with Odin. Multiple ways to access, two easiest IMO: 1. if adb is available type: adb reboot download 2. Pull battery and usb, Install battery, hold down both volume buttons, keep buttons held and plug in usb cable. Dont touch the power button.
That is correct, if you havent flashed anything just battery pull and reboot to get out of download mode. Also if you botch a flash and your phone is frozen, when you reset the phone will go into a bricked mode that will show a phone, warning sign and computer. If your phone does this you'll need to do a battery pull and manually enter download mode reflash.