HttpApplication is the web application instance that has multiple IHttpModule instances registered in it. That‘s why every IHttpModule instance handles a certain part of application execution thus can usually be reused on many applications (think of a Session handling module or authentication module).

In terms of application/request handling there are many similarities. HttpApplication has access to application-level events like OnStart, OnEnd etc as well as request-level events like OnBeginRequest, OnEndRequest etc. IHttpModule on the other hand only has access to request-level events.

Additional note: It‘s possible to handle application start and end events even using an IHttpModule, but this is a non-documented feature and you have to take some special precautions. Check these two blog posts that explain it all into great depth:
Writing a custom IHttpModule that handles Application_OnStart event
How to correctly use IHttpModule to handle Application_OnStart event

I suggest you read a bit about application life cycle execution pipeline:

• ASP.NET Application Life Cycle Overview for IIS 5.0 and 6.0
• ASP.NET Application Life Cycle Overview for IIS 7.0
• Walkthrough: Creating and Registering a Custom HTTP Module

The HttpApplication Class

The HttpApplication class is used to access application wide information within an ASP.NET web application or site. Table B.3 shows the HttpApplication class properties.