Kydex is a type of material...(basically plastic sheet with good durability and heat forming memory characteristics).
Bladetech, Blackhawk and many others use it for hosters, kinfe sheaths, etc...
BHI Serpa comes in a couple of different configurations, but most times people are refering to the open top holster (i.e. no guard/hood) that has the trigger lock paddle release mechanism.
A lot of kydex holsters are rely on friction/molding for retaining the pistol. All that's needed is a tug to get the pistol out. Tension can usually be adjusted so that the pistol doesn't fall out of the holster (jumping, running, diving, scrambling, etc...).
The serpa's trigger lock thingy is a spring loaded lock that captures the trigger guard of the pistol and hold it into the holster. You have to depress the paddle as you draw the pistol (and the tightness of the holster can be adjusted as well). So the advantage of a Serpa over a non-locking friction-type kydex holster is retention security. The pistol shouldn't come out unless you're drawing it while activating the unlocking mech.
I think these are called Level 2. A holster with an active locking device AND another retention device (like a hood/strap/flap/etc...) is a Level 3. I'm not really up on the Level X naming scheme...so take it with a grain of salt.