No difference at all. Sun used the term "JDK" for Java 1.0 and 1.1, changed to J2SDK for Java 1.2, 1.3, and 1.4, and, for some reason, has gone back to JDK for 1.5. But the terms are completely interchangeable.
One small difference is that SDK stands for Software Development Kit where as JDK stands for Java Development Kit. The acronym SDK is more universal in that it can be used for development kits for other languages and environments (e.g. Windows SDK, PalmOS SDK, Mac SDK, OpenGL SDK, etc.). As EFH notes above, SDK and JDK are the same when you are talking about Java.