Some practical examples of the differences between these variables:
Example 1.
PHP_SELF is different from SCRIPT_NAME only when requested url is in form:
http://example.com/test.php/foo/bar
[PHP_SELF] => /test.php/foo/bar
[SCRIPT_NAME] => /test.php
(this seems to be the only case when PATH_INFO contains sensible information [PATH_INFO] => /foo/bar)
Note: this used to be different in some older PHP versions (<= 5.0 ?).
Example 2.
REQUEST_URI is different from SCRIPT_NAME when a non-empty query string is entered:
http://example.com/test.php?foo=bar
[SCRIPT_NAME] => /test.php
[REQUEST_URI] => /test.php?foo=bar
Example 3.
REQUEST_URI is different from SCRIPT_NAME when server-side redirecton is in effect (for example mod_rewrite on apache):
[REQUEST_URI] => /test.php
[SCRIPT_NAME] => /test2.php
Example 4.
REQUEST_URI is different from SCRIPT_NAME when handling HTTP errors with scripts.
Using apache directive ErrorDocument 404 /404error.php
http://example.com/test.php
[REQUEST_URI] => /test.php
[SCRIPT_NAME] => /404error.php
On IIS server using custom error pages
http://example.com/test.php
[SCRIPT_NAME] => /404error.php
[REQUEST_URI] => /404error.php?404;http://example.com/test.php