Also: The Great British Venn Diagram:

Here’s a diagram that may help you learn the difference between England, Great Britain, the British Isles, and the United Kingdom.

The Republic of Ireland and the United Kingdom are the only two sovereign states in this image. They are shown in red. Ireland and Great Britain are both islands and are shown in green. England, Scotland, Wales and Northern Ireland are constituent countries of the United Kingdom and are shown in orange.

There are other complicating factors, stemming from politics, history, and geography. The author explains these as simply as possible, including the fact that this is actually a Euler Diagram instead of a Venn Diagram. Now if they could only explain North America/USA/America!
Source: Neatorama