Optical Drive - This is the CD/DVD ROM or burner. It is usually possible to upgrade this component within reason. If you have a laptop using a CD ROM it probably won't be able to support a 20x DVD Burner. Likewise, upgrading from CD/DVD to Blu-Ray is rarely an option either. However if you want to upgrade from a CD burner to a DVD burner, this is quite possible. Your laptop's manufacturer should be able to sell you the part, or you can find a compatible one from another retailer.
Memory - You can increase the amount of RAM in a laptop within reason. Most laptops only have one or two slots to install RAM. You must use the correct type (DDR, DDR2) with the same pin count. 1GB of RAM is recommended for Windows XP and 2GB for Windows Vista.
Hard Drive - You can swap out a hard drive for one with more storage space, but it must use the same interface and physical dimensions. The proprietary laptop hard drive installation cage must be able to screw onto the new hard drive the same way. Check with your laptop's manufacturer.