There is a lot of literature about entities and their purpose in Drupal 7 context. Most of it has been adopted in Drupal 8 as well. In this post, I'll highlight the differences between D7 and D8 entities and how to use the entity API in 8.
Entities have their own classes in 8. Also, Drupal 8 introduces the concept of config entities. These are used to store user-created configuration if its more than a piece of text, boolean or integer. They differ from the usual entities in the following ways: