The ADR lets you read the aperture setting right from the viewfinder of supported cameras e.g. FM, FE, FM2, FE2, FM3a, F3, etc. This "Feature" was removed from the recent AF SLRs coz they have LED/LCDs inside the viewfinder to display this information.
The distance scale shows you what distance your subject is focused at. Most lenses have this. This information is unfortunately unreadable in the viewfinder, and in the case of most AF lenses, not as fine as old MF lenses.
The Depth of field scale are a set of markings indicated by f/numbers on either side of the focus mark of the lens. These are used to calculate depth of field as well as to let you set the hyperfocal distance. At any given aperture, the range of subjects in focus are given by the 2 dof markings on either side of the main focus marking which is marked by the aperture you are currently using. E.g. if you are using f/8, the "left" f/8 mark indicates the furthest subject which will be in focus; the "right" f/8 mark indicates the nearest subject which will be in focus. The difference in distance between these 2 is the total depth of field.
The IR Compensation Index is used for shooting IR. IR has a different wavelength than visible light and focuses at a different position (nearer). So you are supposed to do your normal focussing then shift the focused distance to the IR mark (as opposed to the standard mark) when shooting IR. Say you subject is in focus at 3m. When shooting IR, you shift the "3m" mark on the lens to the IR mark.
I have no pics to illustrate better, but hope I've explained well.