Jams, jellies and marmalades are all different styles of fruit preserves.
Jam = a preparation of fruits, vegetables and sugar, often canned or sealed for long-term storage. The preparation of fruit preserves today often involves adding commercial or natural pectin as a gelling agent, although sugar or honey may be used as well.
Jelly = an American term for clear or translucent fruit spread made from sweetened fruit (or vegetable) juice and set using naturally occurring pectin. Additional pectin may be added where the original fruit does not supply enough, for example with grapes. Jelly can be made from sweet, savory or hot ingredients. It is made by a process similar to that used for making jam, with the additional step of filtering out the fruit pulp after the initial heating.
Marmalade = a type of fruit preserve made from the juice and peel of citrus fruits boiled with sugar and water. It can be produced from lemons, limes, grapefruits, mandarins, sweet oranges, bergamots and other citrus fruits, or any combination.