The gravity well is the spherical area around celestial objects (planets, sun, anomalies) where combat takes place and buildings can be placed (in case of planets).

Phase lanes link all celestial objects to each other (all the white lines between planets you see when you zoom out), and you can only travel from one to another via phase lanes (by right clicking on the destination, the phase lane path will have a blue movement line).

Hope that helps, otherwise if you could be more specific with your question so I can do a better job