Zen - Zen is a school of Mahāyāna Buddhism, referred to in Chinese as Chán. Chán is itself derived from the Sanskrit Dhyāna, which means "meditation" 

Zazen - In Zen Buddhism, zazen (literally "seated meditation") is a meditative discipline practitioners perform to calm the body and the mind and experience insight into the nature of existence and thereby gain enlightenment (satori).

Zafu - A zafu is a round cushion, about 35 cm (14 inches) in diameter, and often about 20 cm (8 inches) high, when fluffed. Zen Buddhist practitioners traditionally sit on a zafu when engaged in sitting meditation.

Zabuton - A zabuton is a rectangular cushion, about 76 cm (30 inches) by 71 cm (28 inches), that is often used under a zafu cushion to provide comfort and support when engaged in sitting meditation.

Links.

Buddhist Information and Education Network

International Zen Association United Kingdom

Funny video on how to do zazen