SAT is as if you dangled a thermometer out the window of your a/c, with no movement at all. It's the temperature outside much the same as what is read from your thermometer on your back porch, if you have one.
TAT is the above, however it doesn't compensate for ram rise. That is to say the movement of the a/c through the air. The act of moving that pitot tube through the air at 500+ MPH, causes it to warm up since it is metal. TAT is important because this tells you the relative effect the temp. is having on the surface of your a/c. Basically, if you had a leading edge that would be -40c, the friction caused from moving fast gives you a surface that has a cumulative temperature of maybe -15c. It would then be certainly capable of collecting ice.
OAT is not compensated for anything, including errors in the gauge (like the other two are). In a Cherokee, the difference between what the thermometer would read at 0 KTS and 110 KTS, is not enough to worry about. There are, however, charts out there somewhere that will help you convert OAT into SAT. They usually do try to keep the probe directly out of the slip stream, like on a Cessna. Remember the big old gauge next to the pilot's head?
As a side note, the Airbus is different from what Falcon Capt. described. We have to operate engine anti-ice from +10 TAT to -40 SAT. Kind of funky, huh?
JayDub