They are all types of whisky. All whisky is fermented and distilled grain, usually barley, corn, rye or wheat, that's aged in oak barrels for at least 3 years (except corn whisky, it usually isn't aged).
Bourbon is American made, 50% corn and aged in new charred oak barrels. Jack Daniels is a "Tennessee Style Whisky" because they don't follow the rules of Bourbon and use a filtration technique before they age.
Scotch is whisky made in Scotland from grain and water from Scotland and aged for 3 years in Scotland. If you do all that in Ireland, it's Irish Whiskey and if you do it in Canada, it's Canadian Whiskey.
Rye is whisky made from the grain, rye. Just like the bread. You find rye in a lot of other whiskies (lots of Bourbons use rye, for example) but beyond a certain % you call it Rye.