About Optical Sizes
You said that you do not get the difference between optical size and weight. It is very simple. With weight a typographer means the thickness of the strokes which make up a glyph. A glyph with thicker strokes has more weight than one with thin strokes. Common weights are Bold or Light. To switch to a font with high weight in LaTeX use \textbf (or \mathbf).
Optical sizes or design sizes are fonts which are meant to be set at a specific size. Back when text was set in lead there had to be an extra set of glyphs for every conceivable size but with the advent of computer typography designers started to make their fonts only for 12pt font size because it could be easily scaled to any other size. Unfortunately, this scaling is suboptimal and fonts with high contrast become barely legible at small size. Therefore people introduced optical sizes which are fonts optimized for a certain range of sizes. The most common optical sizes, as introduced by Adobe, are Tiny, Caption, Text, Subhead, and Display. Their names reflect the intended place of use. The corresponding size ranges are
up to 6pt: Tiny
6pt-8.4pt: Caption
8.4pt-13pt: Text
13pt-19.9pt: Subhead
above 19.9pt: Display
Of course, weight and optical size are independent of each other and can be combined. That is why the full set of Minion Math has files called MinionMath-BoldSubh.otf, which contains Minion Math at the design size Subhead in bold weight.
About Minion Math
I own the Basic Set of Minion Math. As Minion Math is a Math font it doesn't come with a text font which is why I use the Minion Pro text font distributed with Adobe Illustrator.
The basic set comprises the following OpenType font files
MinionMath-Bold.otf
MinionMath-Capt.otf
MinionMath-Regular.otf
MinionMath-Tiny.otf
I also received Type 1 font files and macros for the use in pdfTeX, but I would not be surprised if this support is dropped at some point. I don't even know if these macros provide access to all the glyphs currently covered by Minion Math. The OpenType fonts work nicely with LuaTeX and XeTeX*. Recently I also put together a ConTeXt typescript file which I can provide on demand.
For most basic math typesetting it is sufficient to own the Regular weight, which already includes bold alphanumeric characters mandated by Unicode. However, if you are looking to typeset symbols for which there is no bold variant in Unicode, e.g. a bold integral sign, then you will need two weights: Regular and Bold. Please do not consider only buying Regular and then using fake bold. The additional Caption and Tiny fonts which come with the Basic Set are in normal weight and run slightly wider than Regular. The strokes differ only very slightly.
As such subtleties are certainly a very subjective perception, see the next section to make yourself a picture.
Visual Comparison
I typeset the example found at the very end of this »answer« twice with LuaTeX, once with the SizeFeatures block commented out (no opticals) and once with opticals.
No Opticals: Link to screenshot
The following fonts are embedded (output of pdffonts)
name type encoding emb sub uni object ID
------------------------------------ ----------------- ---------------- --- --- --- ---------
KESRZU+MinionPro-Bold CID Type 0C Identity-H yes yes yes 4 0
FWTMSK+MinionPro-Regular CID Type 0C Identity-H yes yes yes 5 0
DRZEGS+MinionPro-It CID Type 0C Identity-H yes yes yes 6 0
XPNDTR+MinionMath-Regular CID Type 0C Identity-H yes yes yes 7 0
KPJMUA+MinionMath-Regular CID Type 0C Identity-H yes yes yes 8 0
KDMCFD+MinionPro-Bold CID Type 0C Identity-H yes yes yes 9 0
UTEPWH+MinionMath-Regular CID Type 0C Identity-H yes yes yes 10 0
VHZLAM+MinionPro-Regular CID Type 0C Identity-H yes yes yes 11 0
With Opticals: Link to screenshot
The following fonts are embedded (output of pdffonts)
name type encoding emb sub uni object ID
------------------------------------ ----------------- ---------------- --- --- --- ---------
KESRZU+MinionPro-Bold CID Type 0C Identity-H yes yes yes 4 0
FWTMSK+MinionPro-Regular CID Type 0C Identity-H yes yes yes 5 0
DRZEGS+MinionPro-It CID Type 0C Identity-H yes yes yes 6 0
XPNDTR+MinionMath-Regular CID Type 0C Identity-H yes yes yes 7 0
PXNQGX+MinionMath-Capt CID Type 0C Identity-H yes yes yes 8 0
KDMCFD+MinionPro-Bold CID Type 0C Identity-H yes yes yes 9 0
VHZLAM+MinionPro-Regular CID Type 0C Identity-H yes yes yes 10 0
Example
\documentclass[12pt]{article}
\pagestyle{empty}
\usepackage{amsmath}
\usepackage{amsthm}
\newtheorem{theorem}{Theorem}
\usepackage{unicode-math}% loads fontspec
\setmainfont[%
Ligatures={TeX,Common},
Numbers={Proportional,Lining},
Kerning=On,
]{Minion Pro}
\setmathfont[
SizeFeatures = {
{Size = -6, Font = MinionMath-Tiny,
Style = MathScriptScript},
{Size = 6-8.4, Font = MinionMath-Capt,
Style = MathScript},
{Size = 8.4-13, Font = MinionMath-Regular
},
},
]{MinionMath-Regular}
\setmathfont{MinionMath-Bold.otf}[range={bfup->up,bfit->it}]
\begin{document}
\begin{theorem}[Residue theorem]
Let $f$ be analytic in the region $G$ except for the isolated
singularities $a_1,a_2,\dots,a_m$. If $\gamma$ is a closed
rectifiable curve in $G$ which does not pass through any of the
points $a_k$ and if $\gamma\approx 0$ in $G$, then
[
\frac{1}{2\pi i}\int\limits_{\gamma}f\left(x^{\mathbf{N}\in\BbbC^{N\times 10}}\right) = \sum_{k=1}^m
n(\gamma;a_k)\mathup{Res}(f;a_k),.
]
\end{theorem}
\begin{theorem}[Maximum modulus]
Let $G$ be a bounded open set in $\BbbC$ and suppose that $f$ is a continuous function on $G^-$ which is analytic in $G$. Then
[
\max{|f(z)|:z\in G^-} = \max{|f(z):z\in \partial G},.
]
\end{theorem}
First some large operators both in text: $\iiint\limits_{Q}f(x,y,z),\mathup{d}x,\mathup{d}y,\mathup{d}z$ and $\prod_{\gamma\in\Gamma_{\overbar{C}}}\partial\left(\tilde{X}\gamma\right)$; and also on display
[
\iiiint\limits{Q}f(w,x,y,z),\mathup{d}w,\mathup{d}x,\mathup{d}y,\mathup{d}z\leq\oint_{\partial Q}f^\prime\left(\max\left{\frac{\Vert w\Vert}{\vert w^2+x^2\vert};\frac{\Vert z\Vert}{\vert y^2+z^2\vert};\frac{\Vert w\oplus z\Vert}{\vert x\oplus y\vert}\right}\right)
]
\end{document}