Cloves are probably the strongest flavour in most mulled wine. You can optionally grind the cloves finely before adding them to the wine, otherwise they tend to float around. Or, you can push the cloves into segments of orange before putting the whole lot in the pot.
Allspice is a single spice, but it tastes rather like a mixture of spices which is why it is called allspice. It is useful in mulled wine, as it has a general pleasing spiciness.
Vanilla is like nothing else, having a unique flavour all of its own. It is the flavouring used in custard, as well as ice-cream and many desserts and confectionery. Vanilla is incredibly expensive due to its scarcity, but hopefully you will find our prices reasonable.
Star Anise is similar in flavour to aniseed, and is commonly used in Chinese cooking, as well as in India. It can be crushed or used whole, and is a very strong spice with many medicinal uses. Star anise is also used in mulled wine, and does have a slightly more "Christmassy" flavour than normal aniseed.