.lo file is a library object, which may be built into a shared library
.la file is a text-based file created by libtool, that includes description of library and enables to create platform independent libraries. For example, in Linux, the library files are .a/.so, in Windows, they could be .a/.dll. Libtool keeps a list of names of .lo files which is used to create the library in .la file.
.o file is a standard object file