In the US, a marmalade is a preserve that specifically includes the shredded peel of the fruit, almost always a citrus fruit. [Sweet] orange is most popular, but lemon, lime, grapefruit and mixes are usually available -- and also imported Seville marmalades from England and Scotland.

I'm quite fond of a cherry-orange marmalade from Florida.

There are regional differences in usage, but generally a jelly is made from fruit juices, a jam contains chunks of fruit, and a preserve might be any of those things or contain whole or nearly-whole fruits.