Java SE = Standard Edition. This is core of Java programming platform. It contains libraries and APIs that any Java programmer should learn (java.lang, java.io, java.math, java.net, java.util, etc…).
Java ME = Micro Edition. This is a platform for developing applications for mobile devices and embedded systems such as set-top boxes etc. Java ME provides some of the functionalities of Java SE, and also introduces some libraries specific to mobile devices.
Java EE = Enterprise Edition ,it is Built on top of Java SE, it provides libraries for database access (JDBC, JPA), remote method invocation (RMI),java messaging service (JMS), web services, XML processing, and defines standard APIs for Enterprise JavaBeans, servlets, Java Server Pages, etc.