In Twine 2, they are accessed as part of the Story Menu. Clicking on Change Story Format opens up the options for picking different story formats and, in most cases, also have links to their externally-hosted documentation.
What are story formats?
In Twine 1, story formats were different visual layouts. Instead of content appearing one way, it could be changed using a different story format. That changed with Twine 2.
Now, story formats are more like dialects of the overall language of Twine along with their own visual changes. Some, like Harlowe, are much more designed for beginners while another, Snowman, is only recommended for more advanced users who want to write they own functionality.
What are the differences between story formats?
There are many. Harlowe was created to be more user-friendly in many ways. However, this also means that more advanced functionality is much harder or nearly impossible. SugarCube follows many of the patterns started with Twine 1 with a large, expanded set of functionality, but also expects some knowledge on the part of the author. Snowman comes with very little built-in functionality and expects the author to write or otherwise supply their own.
The main differences between story formats come in how they handle macros. SugarCube, for example, supplies a large number of macros for doing many different things. Harlowe has less macros for authors to use, but is also aimed at a different, more general audience.
The rules for styling text are often very different between story formats. The "Style Markup" examples show a great breakdown of the different options per story format (Harlowe, SugarCube, and Snowman ).