The events contain the actual data that should be shipped from the master to the slave. Depending on the use, different events are sent.
Statement Based Replication or SBR sends the SQL queries a client sent to the master AS IS to the slave. It needs extra events to mimic the client connection's state on the slave side.
In Row Based replication the changed rows are sent to the slave which removes side-effects and makes it more reliable. Now all statements can be sent with RBR though. Most of the time you will see RBR and SBR side by side.
LOAD DATA|XML INFILE is a special SQL
statement as it has to ship the files over to the slave
too to execute the statement.