With the Preferences... menu item you set the various options allowed by dia (this is the same as selecting File-->Preferences from the main dia window. These options affect new diagrams only, not currently open diagrams. To change options like Snap To Grid for a currently open diagram, use the right mouse button View menu.
Under the User Interface the first option indicates whether the tools in the main window are reset to their defaults after creating a new canvas. The native dia save format uses XML which can be quite verbose. As with many Gnome applications it is common to compress the saved document (using the gzip format) and you can control this behaviour here. dia supports only a limited number of undo levels which can also be set here. Finally, reverse dragging, when enabled here, allows you to drag-select from the right to the left (unlike normal dragging which usually goes left to right) to have a different effect. It selects all objects that intersects the dragged rectangle rather than just those that are fully contained in the dragged rectangle.
View Defaults controls the size and initial magnification of the new window when you create a new canvas. You can also control whether the connection points (the blue crosses) are visible.
Grid Lines can be turned on and off. Objects can be made to snap to the grid (i.e., when you place or move objects they will move automatically to the nearest grid when placed). The size of the grid (both along the x and y axes) can be changed as can the colour and style of the grid lines. Page borders can be displayed on the grid using different colours and line styles.