The macro language of TeX refers to the way macros are read, defined, expanded, etc.; the set of primitive commands & their effect; and things like that. In this context, “plain TeX” means the stuff DEK’s engine understands, as opposed to the extensions supplied by engines like e-TeX, XeTeX, PDFTex, LuaTeX, etc., etc.
The format is the way TeX is configured: which characters have which catcodes, what names do the primitives have, and which macros are pre-defined and to what. In this context, “plain TeX” is the format described in The TeXBook, as opposed to extensions like eplain, LaTeX, & ConTeXt.
The difference between a format and a macro package is not quite clear-cut: there are commands to turn the currently-loaded set of macros into a new format. This is how LaTeX and ConTeXt work without requiring something like \input latex at the top of your source.
By convention, the tex command loads the TeX engine with the “plain” format.
.fmt) is not an executable, it is what I said: a binary file (basically a memory dump of the internal state of the engine at the point it sees\dump). This format file can be loaded by the executable to get back to that point without having to read all the source files again. (additionally it is possible to make a executable that has the format pre-loaded to save a bit more time, as the format doesn't need to be read of disk). Loosely people talk of compiling but TeX is a macro expansion language interpreter coupled to a typesetting engine, not a compiler. – David Carlisle Jul 20 '12 at 15:00