UE
Mobile Station (MS) in GSM systems and User Equipment (UE) in WCDMA and LTE systems. Unlike MS, UE is any device used directly by an end user for communication. It can be a mobile phone, a laptop computer equipped with a data-card or any other device. It connects to the base stations, NodeB and eNodeB via radio interface.
SIM
A subscriber identification module (SIM) is an integrated circuit that is intended to securely store the international mobile subscriber identity (IMSI) number and its related key, which are used to identify and authenticate subscribers on mobile telephony devices. It is also possible to store contact information on SIM cards. SIM cards are used for GSM networks, but for new generations (3G & 4G) USIM cards are used.
USIM
In GSM-only times, the SIM consisted of the hardware and the software. With the advent of UMTS this naming was split: the SIM is now an application and hence only software. The hardware part was called UICC (Universal Integrated Circuit Card). This split was necessary because UMTS introduced a new application, the universal subscriber identity module (USIM). The USIM brought, among other things, security improvements like the mutual authentication and longer encryption keys and an improved address book.
*Note: some details was taken from www.wikipedia.org