Jelly, jam and preserves are all made from fruit mixed with sugar and pectin. The difference between them comes in the form that the fruit takes.
Specifically, the fruit in jelly comes in the form of fruit juice. Jam, on the other hand, uses fruit pulp or crushed fruit, which explains why it's "less stiff" than jelly. Finally, in fancy-pants preserves, the fruit comes in syrup-laden chunks.
Jelly is made from fruit juice and so has no fruit bits. Jam is made by boiling fruit and does have fruit bits. Preserves are basically the same as jam... Marmalade typically is a citrus-based preserve, sometimes containing the rind, but other fruits can be used.