I'll start with soliloquy. By definition a soliloquy is a speech that a character says to himself or herself. It doesn't have to be long, but it always expresses the inner thoughts, emotions, and/or motivations of a character. Probably the most famous soliloquy from Romeo and Juliet appears in Act 2 Scene 2 when Romeo is standing beneath Juliet's balcony waiting for her to appear. That's the one that starts like this:
"But, soft! what light through yonder window breaks?
It is the east, and Juliet is the sun."
An oxymoron is a figure of speech where two contradictory terms are used together. Jumbo shrimp is my favorite. How can a shrimp (something small) be jumbo (something big). In Romeo and Juliet, from the same Act 2 Scene 2 scene is Juliet's famous line "parting is such sweet sorrow." How can sorrow and sadness be sweet? In Act 1 scene 1, Romeo strings a bunch of them together as he is whining about his lost Rosaline.
"Why, then, O brawling love! O loving hate!
O any thing, of nothing first create!
O heavy lightness! serious vanity!
Mis-shapen chaos of well-seeming forms!
Feather of lead, bright smoke, cold fire,
Still-waking sleep, that is not what it is!"
A conceit is going to be an elaborate metaphor. In Act 3 Scene 5, Capulet comes to Juliet's room and finds her crying. He says:
“Thou counterfeit’st a bark, a sea, a wind;
For still thy eyes, which I may call the sea,
Do ebb and flow with tears; the bark thy body is,
Sailing in this salt flood; the winds, thy sighs;
Who, raging with thy tears, and they with them,
Without a sudden calm, will overset
Thy tempest-tossed body.”
Her compares Juliet to a boat, at sea, in a storm. Her eyes are the sea. Her sighs the winds, and her tears the storm itself.