In a nutshell:
Interval training- a method of exercise in which you alternate high intensity short bursts of activity with less intense activity as in Cathe's IMAX series. If the intensity during the high intensity bouts is high enough you will be training anaerobically while during the less intense cycles you will be in your aerobic zone. It has been touted as a method to increase athletic performance, increase endurance, increase heart strength and induce the adaptive response.
Circuit Training- is a method of combining strength with cardio. Usually the weight you use for circuit is less than you would use if you are just doing a strength training routine. This can be an interval workout too if the intensity of some of the cycles goes up while some cycles are lower intensity and you can enter the anaerobic zone for short periods or it can be strictly aerobic. Cathe has many circuit workouts such as Skip, Jump and Pump or Bootcamp for ex.
Cross training just means to train your muscles and your heart using different exercsies or types of activity. It is to ensure that you are working/training all muscles and for cardio to make sure that you don't get used to or adapt to one form of cardio. For example, you may be a great runnner but if you don't swim or bike frequently, you will notice that it is harder for you to swim or bike and your heart rate will have to work harder even though you may be in great cardiovascular condition. Similarly with weight training... ala the STS series. You need to use different exercises and methods of training such as slow and heavy, and lighter for endurance and free weights vs band or machine work etc.
Hope that answers your questions in a nutshell.
Cathy