TryCast and DirectCast are casting operators that directly map to the CLR's support for casting. They can quickly cast an object of a base type to a derived type or unbox a value of a value type. DirectCast throws an exception when the cast isn't possible, TryCast returns Nothing if it failed. You typically want to favor DirectCast to catch programming mistakes.
CType allows a superset of conversions, ones that the CLR frowns on. The best example I can think of is converting a string to a number or date. For example:
Dim obj As Object
obj = "4/1/2010"
Dim dt As DateTime = CType(obj, DateTime)
Which you'll have to use if Option Strict On is in effect. If it is Off then you can do it directly:
Option Strict Off
...
Dim dt As DateTime = obj
Very convenient of course and part of VB.NET's legacy as a dynamically typed language. But not without problems, that date is Unicorn day at stackoverflow.com but will be a day in January when a Briton enters the string. Unexpected conversions is the reason the CLR doesn't permit these directly. The explicit, never a surprise conversion looks like this:
Dim dt As DateTime = DateTime.Parse(obj.ToString(), _
System.Globalization.CultureInfo.GetCultureInfo("en-US").DateTimeFormat)
Whether you should buy into Try/DirectCast vs CType vs explicit conversions is rather a personal choice. If you now program with Option Strict On then you should definitely start using Try/DirectCast. If you favor the VB.NET language because you like the convenience of dynamic typing then don't hesitate to stay on CType.
CType
casting in detail, something the accepted answer on the other question doesn't really go into. If anything, I believe it is the other one that needs to be closed or otherwise linked to this. – Delayedaction