JPEG (Joint Photographic Experts Group) is the most widely used image format in the world. It uses lossy compression that removes image data the human eye is unlikely to notice — particularly high-frequency detail in areas of complex texture. The result is dramatically smaller files compared to uncompressed formats, at the cost of some permanent quality reduction.
A quality setting (typically 0-100%) controls the trade-off between file size and quality. At 80-85%, JPEG compression is nearly invisible to the naked eye. At 60%, artifacts begin to appear as blocky smearing (called "compression artifacts"). JPEG is excellent for photographs but poor for graphics, screenshots, and text — use PNG for those.
JPEG does not support transparency (alpha channel). Every JPEG pixel has a solid color. If you need transparency, use PNG or WebP instead. The file extensions .jpg and .jpeg refer to identical format — .jpg is just an older 3-character convention.