By knowing the sampling distribution of the sample mean, we can understand the data more completely. The sampling error is the standard deviation of this sampling distribution. The standard error is the standard deviation of means from many different samples. The sample distribution of a sample mean is simply a representation of how a group of means is distributed. Other Points -as your n gets bigger, your sampling error gets smaller, that is, your avg. gets closer to the true avg. of the whole data set.
Standard deviation is an average distance from the mean of the observations in a data set.
Standard deviation is a kind of variation in the data set or sample, one can also find other patterns of variation in a sample. These patterns shows the distribution of the variable in the sample. Sometimes the same process can be done in a larger scale where several samples are taken and one detects the distribution among different samples. Now, if we repeat a sample for several times we can get individual means for each of the samples, from which we can calculate the sample mean. Sampling distribution is the pattern of variation among possible values.