Yes, the contravariant components make reference to a different geometrical object than the covariant components. The covariant components are components of a vector from the dual space to the vector space the contravariant components come from. The two vector spaces are isomorphic, so we can identify contravariant elements of vectors with matching elements of the covectors from their space using a simple linear map, or "metric".
When dealing with matrices, we often identify matrices that have one column as vectors, and matrices that have one row as covectors. So, the raising and lowering of indices is analogous to the matrix transpose operation, when the vector's components are real. When they aren't real, we usually use the complex conjugate transpose in order to make the length of any vector a positive semi-definite number.
In quantum mechanics, we usually treat ket-vectors as the vector space, and bra-vectors as the covector space.
So, why do we call them covariant and contravariant? It has to do with the fact that we want the scalars produced by applying the covariant vector to a contravariant one to be invariant under some symmetry transformation (e.g. rotation, Lorentz transformations). Say, we have a contravariant vector that varies as:
$$x^{i} \rightarrow M^{i}_{\hphantom{i}j} x^j.$$
Then the corresponding covariant vector, $x_i \equiv g_{ij}x^j$, will vary as:
$$x_i \rightarrow M_{i}^{\hphantom{i}j} x_j.$$
That is, covariant vectors change with the transpose of the symmetry matrix, relative to how the contravariant version changes.
The reason for this nomenclature is because we like to think of the vectors themselves as being invariant under the transformation, so we write:
$$\vec{x} = x^i \hat{e}_i,$$
where $\hat{e}_i$ are the basis vectors of the vector space. In order for $\vec{x}$ to be invariant, the components $x^i$ have to transform in the opposite sense as the basis vectors (hence, 'contra' for against). Likewise, if we use
$$\vec{y} = y_i \hat{e}^i,$$
then in order to be invariant the components $y_i$ have to vary in the same sense (using the same matrix) as the basis vectors of the original vector space.
For more, see the tensor formulation section of Wikipedia's Lorentz transformation article.