MTA - Mail Transfer Agent. Accepts mail from other MTAs and mail users. E.g. qmail, sendmail, Postfix, Exchange (Exchange MTA is a core component of Exchange Server 2003)
MUA - Mail User Agent. Software used by users to download mail, upload to an MTA, create, and read mail. Also called Email Client; E.g. Outlook, Thunderbird etc
MDA - Mail Delivery Agent. Accepts inbound mail from an MTA and delivers it to the appropriate user on the local machine. E.g. For IMAP servers (eg Dovecot, Courier and Cyrus) Exchange (Exchange MDA is a core component of Exchange Server 2003)
LDA - Local Delivery Agent.; The LDA accepts a piece of mail from an MTA and delivers it to a user's mailbox. IMAP servers (eg Dovecot, Courier and Cyrus) have their own custom LDAs to deliver mail into their storage systems. procmail is commonly used as an LDA on Unix systems. Exchange (Exchange LDA is a core component of Exchange Server 2003)
(Image courtesy: http://www.feep.net/sendmail/tutorial/intro/MUA-MTA-MDA.html)