H2O is indeed water. Countless thousands of tons of it are naturally present in Earth's atmosphere as vapor. And it traps enormous amounts of infrared radiation in the Earth's atmosphere, preventing everyone from freezing to death at night. But everything in moderation! Since water vapor is emitted from our factories, power stations, and automobiles, there is much more of it in the atmosphere. Elevated vapor levels trap greater amounts of infrared radiation, leading to rising average temperatures.
Elevated CO2 levels also trap infrared radiation, as exemplified by the planet Venus. Its atmosphere is made almost entirely of CO2. The surface temperature is even hotter than Mercury, which is actually closer to the sun. Elevated CO2 levels in Antarctic ice cores also correspond to points in Earth's history when the global average temprature was higher.
CH4 is indeed natural gas, but it is also a greenhouse gas. The agricultural industry, particularly modern cattle ranching for use in meat, is an enormous generator of methane gas.
N2O is indeed known as "laughing gas" and is widely used as an anesthetic. But our automobiles, factories, and power stations emit thousands of tons of it into the atmosphere, where it absorbs the sun's infrared radiation and warms the planet.
O3 is indeed ozone. At high altitudes, ozone protects us from harmful ultraviolet radiation, X-rays, and gamma rays from space. At low altitudes, ozone is an extremely toxic atmospheric pollutant and a greenhouse gas emitted from our automobiles, power stations, and factories. It absorbs infrared radiation from the sun, which raises the temperature of the Earth.
CFCs (chlorofluorocarbons) were indeed used as coolants in refrigerators and air conditioners until they were banned (in the early 90s I think). At high altitude, they convert ozone into molecular and atomic oxygen, which do not shield us from the dangerous high-energy electromagnetic radiation from space. They also act as (you guessed it) a greenhouse gas that absorbs infrared radiation, contributing to global climate change.