Limits play a role in calculus because of what role they play in determining the derivative(the tangent of a curve) or other equations that originally would involve being undefined(i.e, having a denominator of 0).
How they work with derivatives is given by the following equation(sorry if an equation is being used).
The idea here is you have a secant line and the point is to result in having a tangent line. This involves the variable approaching 0. Here is a graph below to demonstrate what it essentially is.
Let me break down the equation for you. If you look at the top part, you will notice that it is f(x+h)+f(x). This is part of the definition of secant line, which is simply the change in y over the change in x.
Of course, this only gets the slope of the SECANT line, not the tangent line. Limits become important in finding the tangent line because the limit is used to find what the slope of the tangent line will be AT that particular point x instead of between the two points. As the change in x approach 0, the secant line becomes the tangent line.
If you were to analyze this without the use of calculus, you would realize that the regular equation, the change in y over the change in x, would not work because if there is no change in x, there is no change in y. This means it would be 0/0, which is not a good thing to get in Mathematics.
Integrals are significant not only because they are the result of the anti-derivative, but also because they allow for the calculation of a curve. They mostly play a role in Physics, but have uses in many other fields.
In relation to derivatives, limits, and integrals the only thing that there is to test is whether the limit exists or if the derivative exists at a particular point, for that matter. That involves determining if there is discontinuous parts of the graph and other factors. If you mean in with sequences or summations, it depends on the equation you are dealing with.
Here is a wiki page that can show some tricks: http://www.wikihow.com/Determine-Whether-an-Infinite-Series-Converges