There more to it than I can explain in a short message, but here's my take on it . . .
Jailbreak: Altering the firmware/operating system on the iPhone in order to install and run applications that do not originate from the AppStore. These apps can include themes, different icons, etc. Jailbreaking is circumventing Apples strict rules on what can and can't be installed or tweaked on the iPhone, thus, "freeing" your iPhone from Apple's virtual jail.
Unlock: Unlocking an iPhone allows an iPhone to run on a different carrier's SIM card. Many carriers sell phones that are "locked" to their network. Another carrier's SIM card would not work in these phones. Currently, the iPhone 3G can not be unlocked (at least not today, but soon I hear). In some countries, the iPhone is sold unlocked because of federal regulations saying that phone must not be locked to a specific carrier.
An unlocked iPhone can not run on the Sprint network. SIM cards are generally GSM technology (the most popular cell technology in the world). Sprint is not GSM...they use CDMA which doesn't require a SIM card. CDMA is only used in three countries I believe (US, Canada, and some other small country). I may be wrong on the number of countries, but at any rate, CDMA is a minority technology.