What do the Visual Studio watch window icons represent?

The icons identify the kind of the entity being watched; the same icons are also used in IntelliSense, Class View, and the Object Browser (and in Visual Studio 2012, the enhanced Solution Explorer).

There's an overview of the icons on MSDN: Class View and Object Browser Icons (the icons in Visual Studio 2012 are similar, but styled different).

Added

If you google for class and object browser icons then you should see the latest e.g. this one for VS 2019 https://docs.microsoft.com/en-us/visualstudio/ide/class-view-and-object-browser-icons?view=vs-2019

Some shown in this image from that page

For VS2013 here's the icon reference:

http://msdn.microsoft.com/en-us/library/y47ychfe.aspx

For Visual Studio 2015 and 2017:

https://docs.microsoft.com/en-us/visualstudio/ide/class-view-and-object-browser-icons