Envy means to bear a grudge toward someone due to coveting what that person has or enjoys. It usually involves 2 people. I envy her because she has a new car. Jealous means apprehensive or vengeful out of fear of being replaced by someone else. It usually involves 3 people. I am jealous that you like her more than you like me.

Let me offer one more answer because I'm seeing answers that are not going to be true in American English usage. Jealousy does not always mean fear of being replaced, and it is not always about romantic feelings, although it can be used for either of those cases. Jealousy can be just wanting what someone else has, or it can be anger in seeing what someone else has, or coveting someone else's success, etc. The usage that just reminded me of this and prompted me to come back to this was on ESPN (a sports network in the US) where the commentators were discussing why so many people expressed hate for a certain league. One of the commentators said, "It's jealousy, I know, but ... " This is a common usage in the US. It doesn't involve 3 people, and is not romantic in this usage. Envy can be used of a romantic situation, but isn't usually the word used first. The first reference is usually "Jealous" or "Jealousy." Envy may be used following this in clarification and while using a separate word. I still have to maintain that the two are synonyms with some specific cases where one is used more commonly than the other.

Some people strain very hard to get different shades of meaning from the two. However; where I grew up, the two are synonyms - no real difference between their meanings. There are some contexts where one is used rather than the other. For example, the expression "Green with envy" is used for extreme jealousy. You would never say "Green with jealousy" anyplace I've lived. These are things you just have to learn on an individual case, though. I've heard one person make the distinction that "Jealous" means I want the same thing and "Envy" means I wish I had it instead of you. However; that is not true of the meanings where I grew up. Where I grew up, the meanings are the same, and jealous or envy could either one mean either of the things the person was trying to draw out in their distinction I cited here. Bottom line: they are synonyms, but sometimes an expression may use one or the other.

envy : extreme jealous : Who are you talking ? A boy, you jealous :P ? look like

"jealous" is about romantic feelings