Fusible interfacing or fusible web are the generic terms for a product that is used to permanently stick two pieces of fabric together. It has adhesive on both sides. It is covered by paper so you can draw your design on and cut the design out. You then pull ONE side of the paper off and iron it to the BACK side of your fabric. Once you cut out your shape from the fabric, you peel the paper backing and iron the fabric down on your block. Usually, you want to sew the edge down with a blanket stitch or a zigzag stitch.
Wonder Under, Steam-a-seam (or steam-a-seam2 my favorite) are brand names of the above-mentioned. (like Kleenex is the brand name for tissue) They vary in thickness and some gum up the needle. It is personal preference. Using this type of interfacing can leave the applique a bit stiff.
When you iron the fusible to your iron - there will be many bad words uttered - it leaves a nasty mess. (Ask me how I know)
Freezer paper is not fused. It is used to cut out applique shapes and the shiny side will temporarily stick to fabric.
If you iron the freezer paper to the back side of fabric and applique it down, you have to plan on getting the paper out at some point. (So it won't become a mess in the wash).
If you iron the freezer paper to the top of the fabric, you can use the edge as a paper-turn guide and simply pull the paper off when you are done.