They demonstrate (or indicate): This, that, those, these.
They introduce a dependent (subordinate) clause, which gives more information: who, whom, which, that.
They are used for non-specific items and people: anyone, someone, all, both, few, each...
These begin questions: Who, Which, What, Where, How
These are used to show ownership: my, your, his, our, hers...
They refer to another noun in the sentence and end in -self or -selves: himself, herself, yourself
They are used to add more emphasis to a subject and end in -self or -selves: myself, himself, herself
They are used as substitutes for a noun or pronoun in a sentence: he, she, I, me, we, it...