Notes from Jacob K:

Some loadable kernel modules (lomac, pf, ipfw, ipf, etc) may be automatically loaded at boot time when the corresponding rc.conf(5) statement is used. Modules may also be auto-loaded through their addition to loader.conf(5).

Difference between a statically complied kernel and on that uses loadable kernel modules: A statically compiled kernel has all of the functionality compiled into the kernel whereas a kernel that uses loadable kernel modules has kernel modules that get loaded to a static kernel for extra functionality.