The only difference is the filename extension. JFIF is the actual file format that contains an image compressed with the JPEG method. These newer JFIF files originally used the JPG extension, however, the latest standard calls for using a JIF extension instead. JPEG supports 24-bit color. GIF, the other format widely used on the Web supports only 8-bits.
Compression is performed on blocks of pixels eight on a side.
You can see these blocks when you use the highest levels of compression or greatly enlarge the image. JPEG is a two pass compression and de-compression algorithm. This means it take longer to load and display than a gif file. While a standard JPEG loads from top to bottom, a progressive JPEG displays the entire image starting with the largest blocks. This allows the image to be displayed first in low-resolution and then filled in as more data arrives.