NAME=value on its own makes a shell variable. export marks one as part of the environment, which is what env prints and what a command would be given if anything here were a separate process. export NAME=value does both at once.

set on its own prints every variable the shell has, sorted. unset takes one away.

The variables this shell starts with are in ~/.zshrc, which is a file you can read — and change, if it is yours. man sh has the list of the ones that mean something: PS1, PATH, HOME, PWD, ? and the rest.