They adjust Throttle, ECU and drivetrain.
Eco: Throttle is number, you will also hear a slight change in the exhaust note (presume they switch to a more eco friendly map to save fuel so you wont be getting all the performance). The gearbox is mapped to change gears as fast as possible to keep the RPMS down and the car will sail when you take your foot of the petrol i.e. you can coast with the RPMS on idle. Also, the Air Con goes into a low power usage mode.
Comfort: Car acts like a normal 320 would. I.e. little more revs, more power and the Air Con will work as normal.
Sport: Gear changes are faster, car tries to keep the RPM in the optimum power band, car delivers all the power available and the e-diff is set to deliver maximum traction.
Sport+: Same as above but the car will allow a certain amount of wheelspin before interfering. Traction control and stability control is thus adjusted for a more sporty drive. You can also get a little bit of a slide going but the ECU does not allow too much angle or sudden slip. You need to drive the car on a track in sport and then sport+ to really appreciate the difference between the two modes.