Abbreviations are shortened words. The most common form of abbreviation is to use the first few letters of a word (Jan., etc., St.). All days of the week and months of the year can be abbreviated using the first three letters only (Jan., Feb., Mar., Mon., Tue., Wed.).
Acronyms are a type of abbreviation. They are used to shorten phrases or proper names and can be spoken as a word. Acronyms are formed by taking the first letter or the first few letters of the words in a phrase to form a new word (NASA, HAZMAT, RADAR).
Initials are also a type of abbreviation. They are formed by taking the first letter of each word in a name or a phrase, but it is not spoken as a word (FBI, CIA, IBM).
Here is a list of commonly used abbreviations, acronyms, and initials.
(UNICEF has changed its name to United Nations Children's Fund, but they still maintain the acronym.)