I read about 3 main types of encryption: symmetric, asymmetric, PGP. I can figure out the difference between asymmetric and symmetric. But what is the difference between asymmetric and PGP?
PGP is a specific implementation of asymmetric encryption*. The original product ("Pretty Good Privacy") spawned an open variant called OpenPGP (and a number of standards), and alternate implementations like GPG are also often referred to as "PGP".
So, PGP is just a product that implements asymmetric encryption, but is done so for so long and with so many variants it is often spoken of at the same level as symmetric and asymmetric.
*As @Schroeder points out, PGP actually implements a solution such that symmetric encryption is used to encrypt data, and asymmetric encryption is used to encrypt the key, since asymmetric encryption can't encrypt anything larger than its own key size. This bundle is commonly referred to as "asymmetric encryption" even though it's a hybrid model.
PGP is a file format.
The file format uses Asymmetric encryption to encrypt a symmetric encryption key. the symmetric encryption key encrypts the data.
The file format also supports using a passphrase/password to encrypt a symmetric key, and the symmetric key encrypts the data.
The file format basically specifies the type of encryption algorithm and where to find the parts to decrypt like the start and stop of the encrypted key or the start and stop of the payload.