Health
You heal when you have been left alone for a bit, as long as you are fed. When it is low, the edge of your view turns red and beats with your heart.
Stamina
Running and climbing spend it, and it comes back when you stop. Run it down and you cannot run, and a hanging climber slips.
Food
It drains slowly as you play. Hunger never hurts you, but you stop healing, tire sooner, walk slower and hit weaker. See Food and eating.
What hurts
Big falls, fire, lava deep underground, jelly stings, running out of breath under water and, of course, creatures. Nothing can hurt you while a world loads or just after you arrive.