[Subsequent to DeeDuu's link to the relevant SEP entry, I've inserted excerpts from that which more concisely/rigorously convey some points I was 'grasping' at. All emphasis in these excerpts is mine.]
SonOfThought covered the basic distinction that I prefer to maintain, not out of pedantry but to encourage distinction itself. I've never known envy to be commonly used in conversation, whereas it seems increasingly common for people to say "oh, I'm so jealous" when they're merely coveting something they don't have.
From the SEP:
While it is linguistically acceptable to say that one is jealous upon hearing about another’s vacation, say, it has been plausibly argued that one is feeling envy, if either, in such a case.
I'll start from a more vague concept of entitled, "grasping" behavior:
jealousy is grasping tightly what one already 'has';
envy is grasping for what one doesn't have but supposedly should have;
for extra contrast we add a third, avarice/acquisitiveness, which is sheer greed: grasping for more, and more, and more (of whatever), no rationalization required, compulsive.
both envy and jealousy are three-place relations; but this superficial similarity conceals an important difference. Jealousy involves three parties, the subject, the rival, and the beloved; and the jealous person’s real locus of concern is the beloved, a person (or being) whose affection he is losing or fears losing. The locus of concern in jealousy is not the rival. Whereas envy is a two party relation, with a third relatum that is a good (albeit a good that could be a particular person’s affections); and the envious person’s locus of concern is the rival. . . . Roughly, for the jealous person the rival is fungible and the beloved is not fungible. So he would be equally bothered if the beloved were consorting with someone else, and would not be bothered if the rival were.
- Envy regards possessions and advantages as inappropriately distributed - e.g. "That guy doesn't deserve his good fortune! I would do so much more with it!" This overlaps with avarice because "I should have that", but diverges in that envy presupposes a strong resentment of the "have-not" situation.
(The SEP sets a distinction between resentment and envy, and even further separates envy into 'invidious' and 'benign' varieties; I will emend the conflation by saying that the invidious sort was the only one I had in mind to begin with, and place the other distinction after the following paragraph.)
In its role as a 'deadly sin', envy is essentially thoughtcrime; though it is possible for actions like thievery to be informed by one's envy, it's the attitude itself that is sinful: the insistence (whether or not you ever voice it) that you deserve those things, and they don't deserve them. It is much easier to frown upon The Envious during periods of extreme and unquestioned class disparity - societies in which it is a 'sin' to be dissatisfied with your 'lot in life'. In fact, I might go so far as to suppose that envy has fallen out of common usage and reflection precisely because at least half of that ambition ("I deserve better") is more widespread in societies that promote equality as an ideal - i.e. it is less of an 'attitude problem' than ever.
Even those who deny that “benign envy” is a kind of envy will grant the existence of cases in which people want to have skills or other traits that are possessed by another person, and are pained by their lack, but in which they have no desire at all for the other person to lose those traits. Call such a state “emulative desire.”
- Jealousy is zealous possessiveness; the most suitable overlap with envy while keeping them distinct is arguably the most destructive manifestation: "If I can't have _____, then nobody can." The overlap with avarice is a hoarding mentality. The unique side of jealousy is that it is an attitude to which many divine entities (not just the scriptural Judeo-Christian god) are entitled!
Yes, of course it is possible to flog either of these into a shape that might as well be the other - as with any 'deadly sin' or 'negative emotion', really.
With the above in mind, I agree with SOT that jealousy is worse in character, but mostly just because I associate it with harmful action, much moreso than I associate envy. However (and I can only go by anecdotes here), I think that 'bottling up' either one of them can proverbially 'eat you up inside', but that it may be easier to wean oneself off [unexpressed] jealousy than [unexpressed] envy, rather because of that difference.
Unsurprisingly, someone else has put it better. From Wikipedia:
Gerrod Parrott draws attention to the distinct thoughts and feelings that occur in jealousy and envy.
The common experience of jealousy for many people may involve:
Fear of loss
Suspicion of or anger about a perceived betrayal
Low self-esteem and sadness over perceived loss
Uncertainty and loneliness
Fear of losing an important person to another
The experience of envy involves:
Feelings of inferiority
Resentment of circumstances
Ill will towards envied person often accompanied by guilt about these feelings
Motivation to improve
Desire to possess the attractive rival's qualities
Disapproval of feelings
I see far more toxic possibilities related to jealousy (fear, anger, suspicion) than to envy (longing, desire, ill will "often accompanied by guilt").