Depth is how far in from that view's side a surface sits; 0 is the box's outer edge. Auto keeps the depth of what you paint over, and new pixels take the depth of the surface beside them, so a panel grows as a panel. Fixed puts every pixel at the slider's depth, as the depth brush (D) always does.
On a voxel layer every pixel is drawn along its line of sight. Extrude fills that many voxels in from its depth, or through to the far side, instead of a surface; the eraser cuts through it all or takes off only the surface. Slice a view (its slice button, or , and .) to draw one layer of voxels at a time.