Abbreviations are shortened words (Jan., etc., st.). All days of the week and months of the year can be abbreviated using the first three letters only (Jan., Feb., Mar., Mon., Tue., Wed.).
Acronyms are a type of abbreviation. They are used to shorten phrases or proper names and can be spoken as a word. Acronyms are formed by taking the first letter or the first few letters of the words in a phrase to form a new word (NASA, HAZMAT, RADAR).
Initials are formed by taking the first letter of each word in a name or a phrase, but it is not spoken as a word (FBI, CIA, IBM).
Here is a list of commonly used abbreviations, acronyms, and initials.
You can also download this list here.
(UNICEF has changed its name to United Nations Children’s Fund, but they still maintain the acronym.)