I would suggest taking a look at this: marketing research. It's a post that explains this in greater detail. Briefly put, marketing research is kind of the 'big thing' on doing research. Market research is parts of marketing research. Competitive research is part of market research. Market research is - simply put - about researching the market place (customer needs, competition, opportunities, changes in the marketplace). For additional information, you might also want to check out: how to find out what people want.
By using market research you can gain competitive advantage, the competitive research is a part of marketing research and benchmarking is one of the process to get competitive advantage.
Market research involves finding which keywords are appropriate for your market and if there is a demand for it. Competitive research is about finding out how many sites are using your keywords to market the same products or services you are marketing.