They are all distributors for your book. So for traditionally published authors, the publisher handles distribution- sending your book to stores, Amazon etc. For self publishing, you have to do this yourself.
Lulu and Createspace originally distributed only print books, though they also do ebooks now.
Kindle Direct Publishing is Amazon's ebook programme.
And finally, Smashwords, like Draft2Digital, is an aggregate distributor, ie, they submit to many different ebook sellers for you, like Apple, Kobo, B&N. You can submit directly to these websites as well, but some people don't want the hassle of tracking so many book sellers. Also, some companies like B&N don't allow non-Americans (till now), and so you have to go via a distributor.
So to self publish your book, you need to do a minimum:
Use someone like Createspace to create a print version of your book. Note that, for an extra fee (fixed), companies like Createspace and Lightening Source will put your book in the catalogs bookstores use to order books, though not everyone finds this feature useful.
Use KDP to upload your ebook to Amazon, as Amazon doesn't work with websites like Smashwords.
Optionally, use someone like Smashwords or Draft2Digital to upload your book to other sellers like Apple, B&N etc (or do it directly, if possible).
Many self publishers don't do option 3, as other sellers are not very friendly to self publishers, though this is changing slowly over time.