-C-O-N-C-E-P-T- Series : Web / HTTP Server, Sevlet Container and Application Server

Static Web / HTTP server: It is responsible for handling HTTP requests and sending back static files as HTTP responses
Examples: Apache, lighttpd, nginx, Microsoft IIS, etc.

Servlet container: It handles HTTP requests but also add layers to process those requests, wrap them around Java objects that implement well defined interfaces and implement the servlet container architecture so that a java developer can easily use the API to respond to the requests, manage sessions, cookies, receive GET & POST params, and many more.
Examples: Apache Tomcat, etc.

Application server: It's more than the web server and servlet container. You can find lot of information here
Examples: JBoss, WebLogic, WebSphere, etc.