J2SE - Java 2 Standard Edition. This is what is generally being referreed to when the term "Java" is used. It's the basic, standard part of the language.
J2EE = Java 2 Enterprise Edition. This is an extension of the basic Java language to include web applications (Servlets, JSPs) Distributed Applications (EJBs) Messaging (JMS), etc. The version level of J2EE is not related in any way to the version level of J2SE
JDK and J2SDK are pretty much synonymous. They refrer to the software development kit provided by Sun for free as part of the language. This includes such functions as the compiler and the jar facility. You can run a Java program using the Java runtime, but if you want to write and compile a java program, you need the JDK
[ March 03, 2005: Message edited by: Merrill Higginson ]