There are a number of files that are generated when you create a new level in Sandbox. Here's a run down of the common files. For these examples, we'll be referring to the files for Forest, the sample map that is shipped with the SDK.
This is a container file which is used by Sandbox. This can be opened with an archive program and contains several files which contain information/data for the level. Changes to this file do not effect pure-game.
Minimap file that is generated from Sandbox to give a birds-eye view of the level. The file can be called whatever you like but it needs to be defined in the Forest.xml file.
This script file contains information for use in the Launcher. It defines the loading screen, minimap display information, loading description text and game rules for the level.
Each level can have its own individual configuration file that is only loaded when loading that level. If you wish to run certain CVars for a single level, this is where you'd do it.
The level.pak file houses lots of information about your level that is used by the Launcher. This file is (re)generated when you "Export to Engine" in Sandbox.
This file is the loading screen for use in the Launcher. The file can be called whatever you like but it needs to be defined in the Forest.xml file.
When you create camera locations in Sandbox (CTRL + F1-F12) these locations are stored inside this file and can be called (SHIFT + F1-F12) to relocate the camera. This file is updated when you save the .cry file.
Tiled terrain texture data that is stored when you "Generate Surface Textures" inside Sandbox.