In the validator set: validator is in the active set and participants the consensus process. Validators can earn rewards and can be slashed for misbehaving.
Jailed: validator misbehaved and is in jail. If the jailing is offline for too long, the validator can send an unjail transaction in order to re-enter the validator set. If jailing because of a double sign, the validator cannot unjail.
Unbonded: validator not in the validator set, therefore not sign block, do not earn any reward. It is still possible to delegate KAI to this validator.