Initially when the Web started, then all it needed was a Server which would receive the requests for HTML pages or images and send them back to browsers. These are called Web Servers. Then came requests for handling high capacity Database Transactions, supporting latest Java Features like Servlets, JSP, EJB etc. These requests are handled by Application Servers. Normally for a Application Server to exists and process client requests, they need to come through Web servers. All the static data like plain HTML pages etc are placed on Web Server. All the Dynamic Content generators like Servlets, EJB are placed on application server.
Servlet Engines are similar to Application servers, except they support only Servlets and JSP.
Here is the Servlet Engines which support Servlets and JSP , http://java.sun.com/products/servlet/industry.html. Also here is a the list of All Web Servers and Application Servers.
Applications servers are just another level above Servlet Engines. Normally all the Application servers support Servlets and JSP. Not all Servlet Engines support other features like EJB etc, which Application Servers support.
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