What in fact is the main difference between applets - servlets and JSP's?

An applet is a program written in the Java^TM programming language that can be included in an HTML page, much in the same way an image is included. When you use a Java technology-enabled browser to view a page that contains an applet, the applet's code is transferred to your system and executed by the browser's Java Virtual Machine (JVM).

This process becomes time consuming when the size of the applet is large. Servlets and JSP are executed on the Web Server. Applets are 'rich clients' and require java to be installed in the browser on the client. They also have some cross platform problems that effect their use.

Servlets do not require the browser to be java enabled unlike applets because they execute on the web server. Web applications are thin clients which (in general) only need the browser to support HTTP and HTML.

For more details take a look at this Thread