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An embryo is the first stage of development in species that sexually reproduce. In humans, the term generally applies for the first 8-11 weeks, afterwhich the developing individual becomes a fetus.
A zygote is the first stage of the formation of a new individual animal, formed when the gametes (eggs and sperm) form a single cell. The zygote contains the DNA code for the new individual animal. In biological terms, the zygote is not an actual pregnancy as it has not yet implanted. In the first stage of fertilization, which lasts about 12 hours, the nucleus of the sperm (called a "pronucleus") begins to disintegrate and move towards the egg, eventually falling apart and having the chromosomes enter the egg's nucleus. Another half a day is spent dividing the zygote via mitosis. The zygote 24 hours from fertilization has become two blastomeres trapped together by the protective zona pecullida. Sperm don't really have babies in them, despite all those old-time images that do have them in there.
The cells inside the zona (called blastomeres) continue to divide for a few days, first becoming two, then four, eight, etc., each division taking about 12-24 hours to accomplish. At day 2 from conception, the eight-cell group begins to compact itself together, forming tight junctions which will make twinning after this point impossible for quite a while.
A morula (from Latin for "mulberry") is a solid ball of 16 compacted cells, most on the outside, but with a few on the interior. At this point, the cells, totipotent up to this point, begin to differentiate: the cells on the outer surface will become the placenta, while those on the inside will become the inner cell mass that will become the baby (unless something happens).
A blastocyst is the term for the next stage in development after the morula. About a day after the first differentiation, the outer wall of the morula begins to make a fluid so that the morula becomes hollow, with a one-cell-thick surface except for the small bump inside that is the inner cell mass. The blastocyst then "hatches" from the zona pecullida which surrounded the initial oocyte and its descendants to now, then implanting itself in the womb around day 6-8 from fertilization. Once the embryo has been enveloped around day 8-10 from conception, pregnancy has begun and the blastocyst is now an embryo.
After 8 - 11 weeks, distinct features are noticeable and the embryo becomes a fetus.
It's tough being an embryo. Studies done on early stage pregnancies suggest that over 25% of all pregnancies will not survive to the fetal stage . Further studies, based by and large on interview and statistic, as well as lab studies and data from in-vitro fertilization suggest that nearly 80% of all fertilized zygotes will not implant.