The math module provides functions for specialized mathematical operations such as ceil, floor, factorial, gcd, exp, log, pow, sqrt, trigonometric functions, and constants such as pi and e. The zlib module provides functions for compressing and decompressing data using the zlib library as well as computing checksums. The threading module allows creating and managing threads in Python. Key concepts include the Thread class for defining new threads, starting and joining threads, and synchronizing thread execution using locks.