Shell, level and orbital can often be used interchangeably although they do have different meanings.
The level represents an ordinal or numerical representation of the state and corresponding relative energy of an electron in an atom. Electrons occupy particular quantum states described by fixed quantum numbers and with fixed associated energies. Therefore you can refer interchangeably to the state, energy or quantum number(s) of an electron, keeping in mind the possibility of degeneracy, which occurs when various possible states share the same energy.
Shell suggests an onion-like atomic structure, in which electrons are wrapped around the nucleus in shells, with shells of lower energy electrons closer to the nucleus. This gels with Bohr's idea of electrons occupying fixed orbits about the nucleus. Despite being incorrect, the fixed orbit idea is useful when trying to visualize how energy levels and electron distributions (such as represented with orbitals, see below) in a hydrogen atom (or a hydrogenic atom, one with a single electron) are related. A particular shell is associated with a value of the principal atomic quantum number and may contain subshells, each representing different possible values of the angular momentum quantum numbers.
An orbital describes the spatial distribution of an individual electron and is typically depicted as a boundary that encompasses a volume in which an electron with particular quantum numbers (and corresponding energy) is found with a certain high probability. Higher energy electrons will generally have orbitals with probability extending further away from the nucleus, which is consistent with the idea of a shell.
As an example, when we refer to an electron as being in the 1s subshell (or equivalently in a 1s orbital), we are specifying its energy and angular momentum (but not spin) quantum numbers ($\ce{n=1, l=0, m_l=0}$), and thereby its energy and angular momenta (but not spin angular momentum). The energy of an electron in the 1s shell can be computed exactly as -13.6 eV (relative to a stationary free electron).
Electrons may undergo transitions ("jumps") between shells corresponding to different energy levels and quantum numbers, subject to transition rules. In other words, not all imaginable transitions are allowed, because various properties (specifically angular momentum) must be conserved, just like energy.
When an electron in a hydrogen atom is excited into a higher energy state (or level), its main quantum number must change, since for hydrogen atoms states with the same main quantum number but differing in angular momentum are degenerate in energy (see above).