Parallax is how you gauge depth. Your eyes see an object from two different angles. Your brain uses the difference, or parallax, to gauge depth.
The lack of parallax is how cinematographers achieve "forced perspective". That is, placing one object further away than another in order to make one appear smaller that the other. This technique was used to great effect in
Lord of the Rings. If however the camera had moved in the scenes where forced perspective had been used, the effect would have been blown as you would have seen the two objects move differently in relation to each other as the perspective changed.
Move from side to side and you'll notice that closer objects appear to move faster that further away objects. This example of camera parallax from Wiki...

For a scope, the parallax knob is what you adjust to keep the reticle on your target as you move your head from side to side. That is, if you move your head in relation to the scope, the crosshairs stay on the target.
Wiki can explain parallax in this article...
http://en.wikipedia.org/wiki/Telescopic_sightWindage is the side to side movement of the reticle in a scope. Wind, moving from one side to the other, can be compensated for in this manner.
Larger number means higher magnification. Sometimes you may see two numbers. 4-16x30mm for example. the "4-16" means it's variable power with a range from 4 times magnification to 16 times. The "30mm" refers to the size of the lens in the objective bell (the end opposite the one you look through).
Modern scopes are usually nitrogen-filled.
Mounting is something someone else will have to answer. I've never mounted a scope.
There are night-vision scopes. As well, some scopes have lighted reticles for use in low light.
You can learn about MOA easily enough from Wiki.
http://en.wikipedia.org/wiki/Minute_of_arc-T.