OK, I'll try, but probably others (Racer X for instance) know this better than me:
Mac OS X is based on several things: the Mach microkernel, Darwin-OpenBSD and of course the NeXT heritage. Read
this if you want to know more. Forget the specifics, but this is what "Unix Underneath" refers to. This is the "machine room" of OS X.
When you log in as >console you can see how this looks like: mostly black. If you want pretty windows etc. you need a Window Management System: this draws windows, with buttons, edges, etc. Then you might like a Desktop Environment: the desktop itself, icons, menubars etc.
Now, of course we have all these, but inside OS X these are specifically tuned to run Mac applications, so they are not suited to run unix apps. To run unix apps as unix apps, hence without porting them, they need their own X11 window system.
Ok, so now you can run unix apps alongside your mac apps: great. If you want to increase the functionality and ease of use (and avoid the terminal) you can enhance your X11-unix experience by using a different window manager and desktop environment. Practically you are now running two OS'es in parallel.
Onward to Fink. Fink is a package manager: it tracks which packages (apps) are available for Apple's Darwin+X11, which ones you have installed, whether updates are available, a description etc. But it's not graphical. FinkCommander adds a nice window and graphical controls (buttons, menu's). They are both OS X apps, not unix apps. They help you install unix apps.
Why doesn't apple include them by default? Well, many people don't need/want it, I think. Moreover, they are freely downloadable and both Fink and FinkCommander aren't that big ...
So summarising this gargantuan post: FinkCommander is the frontend for Fink.
X11 is the windowing system, necessary for graphical unix apps like the Gimp and FreeCiv.
You can consider window-managers as custom skins for your X11 windows.
Gnome and KDE are optional enhancements of X11 by providing menubars and desktops (and games and utilities)
So the hierarchy goes like this:
Mach/OpenBSD-Darwin (core OS)
Mac layer (Carbon, Cocoa)
Graphic engines (OpenGL, Quartz)
Aqua interface
and on the other side
Mach/OpenBSD-Darwin
Graphic X11 Window System
Interface elements (WindowManager, Gnome)