Eschatology. The theological study of the end times.
Millennialism. The belief that there will be a protracted series of events, including a 1,000 year earthly reign of peace or "Millennium," before the returned Christ gets on with the Last Judgment.
Dispensationalism. The belief, developed in the 19th century, that God relates to human beings via different covenants ("dispensations"); in particular, dispensationalists believe that God's covenant with Israel, including promises of land, continues in full force distinctive from Christianity.
Premillennial Dispensationalism. Currently the most popular flavor of dispensationalism, this belief holds that Christ will return prior to a literal end-times millennium.
Rapture. The doctrine that Christians will be "caught up" out of this world at the beginning of the end times. In most versions, the raptured get to avoid all that unpleasantness with the Antichrist and the tribulation.
Tribulation. In premillennial dispensationalism, a seven-year period of hellish rule by the Antichrist after (or about the same time as) the rapture.