There – regarding a place. “Have you been to Wales? Yes, I’ve been there.”
Their – possessive of “they” – belonging to them “Don’t take their wellies without asking!”
They’re – less formal, abbreviated form of “they are” “Are Linda and Freddie going to be at the party? Yes, they’re going to the party!”
So, if some people are visiting a female relation who lives on the other side of the valley: “They’re visiting their aunt, who lives over there”.
That’s it, really!
For why we don’t add an apostrophe to “theirs”, see my article on the apostrophe.
For more troublesome pairs, have a look at the category cloud to your lower right, or click here!