What's the difference between Show(), ShowDialog() and Application.Run() functions?

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What's the difference between new Show(), ShowDialog() and Application.Run() functions? In main (winforms) I saw :

Application.Run(new Form1());

Then, for Form1, I also saw Form1.Show() with description: "Shows the control to the user." For ShowDialog, it said "Shows the form as a modal dialog box".

What does this mean?

What are each of their uses and which is most common?

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