Just to add a bit to Ramas answer.
You could use these vectors relative to the Actor or relative to a particular Component of the Actor.
As Rama said, the functions:
GetActorUpVector (LINK), GetActorForwardVector (LINK), GetActorRightVector (LINK)
get the Actors root component Z (up), X (forward), and Y (right) vectors and convert that to a World Space vector.
Now, GetUpVector (LINK), GetForwardVector (LINK), GetRightVector (LINK)
get the the component from which you call this methods Z (up), X (forward), and Y (right) local vectors and convert that to a World Space vector.
An example of this is if the Actor with a Capsule Component as the root component is facing a direction and you have a Camera Component attached to your Capsule Component as a child. If you look around with the Camera (locally rotating the Camera Component relative to your root Capsule Component rotation) the GetActorForwardVector (Actor root component) and the GetForwardVector of the Camera Component will be different. Keep in mind that these are both converted to World Space and Normalized (magnitude = 1.0). This allows you to get directional information in World Space for actors and individual components attached to that actor easily.
Edit: Also, you can negate the vectors to get the opposite. Like, -Up (-Z) vector will give you the down vector, -Forward (-X) vector will give you Backward vector.
I hope this helps clarify a bit. =)