Check, checkmate, stalemate

Check: the king is under attack. You must deal with it right now — move the king, capture the attacker, or block the line. You are never allowed to leave your king in check.

Checkmate: the king is under attack and there is no answer at all. The game is over, and the player giving mate wins.

Stalemate: the king is not under attack, but the player has no legal move at all. That is not a loss — the game is drawn. A great many lost positions are rescued this way.