Sticky refers to making a thread (just in case thread sounds odd, it's what you created... another topic
) "stick" to the top of the list. Take a look and all the threads that never fall down the list... those are Stickied. In fact, I'm pretty sure they actually say "sticky" on them.
Bump means pushing a thread to the top of the list. All threads that aren't stickied are sorted by the date of the last post in that thread. As new threads are posted in, older threads that aren't receiving posts fall down the list. A bump pushes it back to the top of the list.
PM refers to Private Message. It's like an email, but through the forum itself.
EDIT: and... I was beaten to the punch... oh well, hopefully between our two responses, everything is answered