I am an experienced C/C++/C# programmer who has just gotten into VB.NET. I generally use CType (and CInt, CBool, CStr) for casts because it is fewer characters and was the first way of casting which I was exposed to, but I am aware of DirectCast and TryCast as well.
Simply, are there any differences (effect of cast, performance, etc.) between DirectCast and CType? I understand the idea of TryCast.
The first thing to note is VB.NET does not have a direct analog to C#'s (type)instance casting mechanism. I bring this up because it's useful as a starting point and common reference in comparing the two VB.NET operators (and they are operators, not functions, even though they have function semantics).
DirectCast() is more strict than the C# casting operator. It only allows you to cast when the item being cast already is the type you are casting to. I believe it will still unbox value types, but otherwise it won't do any conversion. So, for example, you can't cast from short to int, like you could with a C# (int) cast. But you can cast from an IEnumerable to an array, if your underlying IEnumerable object variable really is an Array. And of course you can cast from Object to anything, assuming the type of your object instance really is somewhere below your cast type in the inheritance tree.
This is desirable because it's much faster. There's less conversion and type checking that needs to take place.
CType() is less strict than the C# casting operator. It will do things you just can't do with a simple (int)-style cast, like convert a string to an integer. It has as much power as calling Convert.To___() in C#, where the ___ is the target type of your cast.
This is desirable because it's very powerful. However, this power comes at the cost of performance; it's not as fast as DirectCast() or C#'s cast operator because it might need to do quite a lot of work to finish the cast. Generally you should prefer DirectCast() when you can.
Finally, you missed one casting operator: TryCast(), which is a direct analog to C#'s as operator.