In most cases DMX Strobes are classical strobe effects that uses DMX 512 protocol for controlling interval of strobe flashes and dimming.
Strobes have two main parameters - frequency of flashes (Hz) and Dimming. Additional parameters can include random strobe (strobe does not flash in regular intervals), light on time etc.
DMX for every type of strobe effect works in the same way.
Xenon lamp based strobes are classic strobes. Strobe effect is produces by electric glow discharge effect, creating intense white light for short durations.
LED Strobes are new type of strobe effects. They use LEDs instead of xenon lamps. LEDs have especially good characteristics for this type of usage, they do not use as much electricity as xenon lamp based ones, flash time (light on time value is not fixed) etc. However, LED strobes are not as powerful as Xenon lamp based ones.
Mechanical strobes are almost never independent strobe effects. Moving Heads, Scanners and similar effects use this type of strobe, because they do not have adequate lamp. LED based Moving Heads and Scanners can go either way.
Strobe Shutters produce strobe effects in mechanical strobes. One (sometimes two) shutters fast move across light beam creating on/off action.
DMX Strobes are generally easy to set up and use. The most basic DMX strobes have only one channel - Flash Speed. More advanced one have secondary DMX Chanel for dimming.