The Hyphen: Used for compound words, and to indicate that a word continues on the next line. Here’s a real-world example.

The En-Dash: About the length of the letter “n”. Used to indicate a range (distance, duration, scores). 10–20 meters, 1:00–1:30, Sat–Sun, 7–10 in favor of Player One.

The Em-Dash: About the length of the letter “M”. Used to denote a sudden shift in thought, a parenthetical comment, or an afterthought. A parenthetical comment—like this one—should be enclosed in em-dashes. However, an afterthought just has one at the beginning—like this.

A good typeface will already have a little space built in on the sides of these punctuation marks, so there is no need to add space.