Connectors are stand-alone packages that interface with web3-react and manage connections to a single type of Ethereum node or wallet. To give an example: it's quite common for dApp users to rely on browser extensions such as MetaMask to manage their account for them. So, web3-react defines a connector that's responsible for interfacing with browser extensions. The current list of first-party web3-react connectors can be found in the top-level README.md.
One enormous benefit to web3-react is that it's incredibly easy to extend existing/create new connectors! They're very simple Javascript class objects which simply need to define a few functions to be fully compatible with the rest of web3-react.
For more information on specific first-party connectors, see the individual files in this folder.