JDK VS JRE

JDK = Java Development Kit 
if you want to develop or just compile Java programs (*.java -> *.class -> *.jar)

JRE = Java Runtime Environment
if you want to execute a Java program Just my simple descriptions:
J2SE = Java 2 Standard Edition - (JDK+JRE) - for common purposes for example
on PCs

J2EE = Java 2 Enterprise Edition
AFAIK framework and methodology to
produce applications in 3-layer technology (robust applications)

J2ME = Java 2 Micro Edition - (JDK+JRE) 
for small devices (cellular phones, palmtops etc.)

SDK = Software Development Kit 
it is IMHO common term

It follows some fundamental infos from Sun's website:
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J2SE
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The premier solution for rapidly developing and deploying mission-critical,
enterprise applications, J2SETM provides the essential compiler, tools,
runtimes, and APIs for writing, deploying, and running applets and
applications in the Java programming language.

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J2EE
--------------------------
J2EE technology and its component based model simplifies enterprise
development and deployment. The J2EE platform manages the infrastructure and
supports the Web services to enable development of secure, robust and
interoperable business applications. The J2EE platform is the foundation
technology of the Sun ONE platform and Sun's Web services strategy.

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J2ME
--------------------------
A highly optimized Java runtime environment, J2METM technology specifically
addresses the vast consumer space, which covers the range of extremely tiny
commodities such as smart cards or a pager all the way up to the set-top
box, an appliance almost as powerful as a computer.