Sparkling Water and "Seltzer" are more or less the same thing, and can be used interchangeably. Originally Seltzer was a german brand of sparkling water, but has now become a "generic trademark" (like Kleenex meaning tissue, or hoover meaning vacuum cleaner) to mean sparkling water, and has, to some extent developed a new, separate meaning.
Today, If there is a difference at all, it would normally be that seltzer is fresh water "charged" with a CO2 siphon in a "Seltzer bottle" (see the included link) where "sparkling water" (aka carbonated water, fizzy water etc) is sold, already carbonated in a bottle, like coke or lemonade. Up market bars and restaurants will usually serve "seltzer", because it is slightly fresher, doesn't pick up the plastic bottle taste some people claim to be able to taste and doesn't get "flat" over time (because it has been "charged" with CO2 there and then) however, in reality, the difference is almost non-existent.
Club soda or soda water is, normally, a slightly different chemical makeup, in that it often has added salt, Sodium (or potassium) bicarbonate, or sodium (or potassium) citrate to give it that slightly salty, slightly acidic taste. A club soda has more taste to it than carbonated water, and has a feel in your mouth, and on your teeth that you should detect, and in alcoholic drinks and cocktails can make a slight difference, though again, not enough to warrant really worrying about in most cases.
The one thing that should not be interchanged with the above three (which you didn't ask about, but is worth mentioning) is tonic water. Tonic water has added quinine, and is a bitter, carbonated drink, often with sugar or artificial sweeteners and other ingredients.
If you are looking to recreate a favorite drink from recipe It should not be used as an alternative to carbonated water, as it will give it's distinctly bitter flavor to the drink, and significantly alter the taste and sometimes even render a cocktail nearly undrinkable due to it's bitterness.
That is not to say tonic water can not be used in your drink recipes, even instead of carbonated water, but it will not produce the same drink you were expecting, sometimes the results will be improved, sometimes not good at all, often just with added bitterness (which you may or may not like). But it's definitely not "interchangeable" in recreating drinks.