Hi leeputman, welcome to the forums.
From your comments it appears you have a pretty good grasp of the use of Activities. These are independent of Client, Job and Task and are used to categorise the type of work being performed regardless of the project.
We typically suggest that activities describe the action being performed. For an IT consultant these could be Coding, Meetings, Documentation, Support, Testing etc. These activities may be performed on any Client or job and thus provide a means of grouping time entries across projects.
Tasks are simply a further break down of a job and do not have to be used. If used they further define logical stages within a particular job, such as milestones or modules within a project. E.g. A Web developer performs many jobs for the same client. A new job is required to develop a company web site so the developer creates a new Job in Times for this Client called Website. They determine each step in the job they wish to record hours again, such as graphic design, database access code, installation, testing etc. As the job progresses hours are recorded against each task. This enables the client and developer to monitor the progress of the job for each stage and report against estimated hours for each task.
Neither Tasks nor Activities are mandatory and you should use them as best suits your business and reporting requirements. In short Activities permit reporting across all entries, Tasks provide a break down of a particular Job.
Hope this clears things up.