In Putty, there are three tunneling options:

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Can someone explain what is the difference between them?

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From the puTTY documentation, specifically, 4.23 The Tunnels Panel section:

Set one of the ‘Local’ or ‘Remote’ radio buttons, depending on whether you want to forward a local port to a remote destination (‘Local’) or forward a remote port to a local destination (‘Remote’). Alternatively, select ‘Dynamic’ if you want PuTTY to provide a local SOCKS 4/4A/5 proxy on a local port (note that this proxy only supports TCP connections; the SSH protocol does not support forwarding UDP).

  • Local -- Forward local port to remote host.
  • Remote -- Forward remote port to local host.
  • Dynamic -- Use SOCKS.
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What is the benefit of using SOCKS5? – LanceBaynes May 23 '11 at 17:29
@LanceBaynes: Benefits? As when compared to what? I'm not sure I understand what you're asking. – jscott May 23 '11 at 18:13
sry, against the Local/Remote – LanceBaynes May 23 '11 at 18:19
@lanceBaynes: The configuration of the resources you are accessing will determine which of the three options you need to use. This isn't a case of one option being "better" than the others. – jscott May 23 '11 at 18:29
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Local / Remote chooses whether you're connecting to a local port or a remote port (your own pc or another pc)

Dynamic is for a SOCKS proxy

See 4.19.2 Port forwarding http://the.earth.li/~sgtatham/putty/0.54/htmldoc/Chapter4.html

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