Dynamite is 8:00 EST on Wednesdays. Their flagship show. Where many of their main event storylines, talent, and very high profile matches take place
Rampage is 10:00 EST on Fridays (for now). Rumors of this show leaving and to be replaced by another, but as of now, it's existence is mostly for matches featuring lower card talent, squash matches and giving secondary storylines to wrestlers not on the show as much (IE Harley Cameron and Saraya). Only 1 hour.
Collision is at 8:00 EST on Saturdays. It's the secondary show. Has some main event talent and even a few wrestlers exclusive to the show (House of Black, FTR). It's usually there to push midcard storylines, and even add smaller details to some of the main storylines. It's also been used in the last couple of months to push talent that's either new or returning (Hologram, Outrunners, Kyle O'Reilly).
I watch Dynamite, try to watch every Collision, and I don't watch Rampage personally. If you wanted to get into it, I'd highly recommend watching Dynamite and if you don't have the time or the desire for Collision then I'd at least watch some of AEW's YT videos or a review online.
Now the confusing part. Tony Khan bought Ring Of Honor that was going out of business and features some of their belts on the program. Their weekly show is Thursdays. I don't watch it as it's hidden behind a subscription, but it's not super seperate so for example the ROH world champion Mark Briscoe is defending his championship in a ladder match this Wednesday on Dynamite even though the belt being defended represents ROH and not AEW.