The idea behind the AdhocWorkspace is to create a workspace on the fly.

var workspace = new AdhocWorkspace();

string projectName = "HelloWorldProject";
ProjectId projectId = ProjectId.CreateNewId();
VersionStamp versionStamp = VersionStamp.Create();
ProjectInfo helloWorldProject = ProjectInfo.Create(projectId, versionStamp, projectName, projectName, LanguageNames.CSharp);
SourceText sourceText = SourceText.From("class Program { static void Main() { System.Console.WriteLine(\"HelloWorld\"); } }");

Project newProject = workspace.AddProject(helloWorldProject);
Document newDocument = workspace.AddDocument(newProject.Id, "Program.cs", sourceText);

The MSBuildWorspace is built around the concept of handling MSBuild solutions (.sln files) and their respective projects (.csproj, .vbproj). Adding new projects and documents to this workspace is not supported.

string solutionPath = @"C:\Path\To\Solution\Sample.sln";

MSBuildWorkspace workspace = MSBuildWorkspace.Create();
Solution solution = await workspace.OpenSolutionAsync(nancyApp);

var allDocumentsInSolution = solution.Projects.SelectMany(x => x.Documents);

In contrast to the other types of workspaces, the VisualStudioWorkspace, cannot be created manually. It can be accessed when building a Visual Studio extension.

When inside your extension package project, go to [YourVSPackage]Package.cs file. There you can acquire the workspace in two ways:

protected override void Initialize()
{ 
    // Additional code...

    var componentModel = (IComponentModel)this.GetService(typeof(SComponentModel));
    var workspace = componentModel.GetService<VisualStudioWorkspace>();
}

Or by using MEF:

[Import(typeof(VisualStudioWorkspace))]
public VisualStudioWorkspace ImportedWorkspace { get; set; }

A great video tutorial about the VisualStudioWorkspace, can be found here.