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I wonder if there exist any other technologies used to establish internet connection between applications. Are there any other? I am searching and so far I haven’t found anything else described.
There are many abstractions on top of sockets, if you don’t want to deal directly with a socket API. UDP, TCP/IP, various RPC protocols, HTTP (which is on top of TCP/IP), etc. Many programming languages have easy methods of doing, say, an HTTP request and getting the resulting document. You can use that to allow applications to talk to each other over the internet without using a socket API.
What are you trying to accomplish?
If you want to skip sockets you basically have to implement your own means of talking to the network card hardware and telling it to communicate with other devices. A socket is just the abstraction chosen for *nix and Windows machines.