The local database is the list of all installed packages, the sync database is the list of all possible packages (determined by the repositories enabed in /etc/pacman.conf).
So, you would pass the -s switch to pactree if you wanted to see the dependency tree for an uninstalled package.
The files database is pacman's native replacement for the pkgfile utility; it lets you reverse search for the name of the package that owns a particular file. Both tools require that you update the files database for an accurate result. See man pacman:
  -F, --files
             Query the files database. This operation allows you to look for packages owning certain files or display files owned by certain packages. Only
             packages that are part of your sync databases are searched. See File Options below.