Traditionally...

... there are significant differences between the two, and in order to illustrate this, jelly will be included as well.  Starting with jelly, it is the result of preserving fruit juice with the aid of pectin, a thickening agent, which is boiled together with said fruit juice and as it cools, becomes the jelly we all know and love.  Jam is essentially the same thing, except that in this case, the whole fruit (or chunks thereof) is used, as opposed to just the juice.  The added moisture and fibrous content produces the smoother texture that one would associate with a jam.  Marmalade, while unfortunately not following the "J" pattern previously established, is also quite tasty and could be said to be the Man's Preserve on account of its lower sugar content.  It is almost always made from the citrus family of fruits, and usually contains bits of the bitter rind.