Shot, Scene and Sequence
A shot is the basic unit of a film and refers to one length of continuous (unedited) action. While shooting, a shot is created when you turn the camera on (begin recording) and then turn it off. Often, a director will record multiple takes (attempts) of each shot in order to get one perfect take to be edited into the final film. While editing, a shot refers to the action between two adjacent edit points. A shot can be as short as a single frame of film (1/24th second) to many minutes long -- both extremes are uncommon. Action sequences tend to use many short-duration shots to increase the sense of excitement, while dramatic scenes tend to use longer-duration shots. The components or elements of a shot can be divided into two categories: cinematography and mis-en-scene. Cinematography is the way the shot is recorded by the camera, including such factors as lens selection, focus setting, depth-of-field, zoom, camera movements, etc. Mis-en-scene refers to everything seen or heard within the shot: the performances, lighting, the set or environment, wardrobe, etc.
Scene
A scene is action that takes place at a certain place and time in the story. If a film starts with a conversation in the kitchen and then cuts to the subway, the kitchen is one scene and the subway is another. A scene can be composed of one shot or any number of shots. When shooting, a director will often record a master shot which captures the entire scene in a single shot, and then record additional shots (e.g., close-up's, cut-ins and cut-away) to be edited into the scene.
Sequence
When a number of scenes can be considered as a unit where the action continues or progresses along each of the scenes, then it is considered a sequence.