can somebody please explain what is the relation between those terms. I tried to find some info in wikipedia, but there is no word about relation between those technologies, thanks in advance for any good abstraction or link
The only thing relating these three phrases is that they all have something to do with serial communication.
A "COM port" is a serial port specifically in Windows or DOS. They are the only operating systems which refer to serial ports as COM.
JTAG is a serial programming / data access protocol designed for interfacing with microcontrollers and similar devices.
A UART is a chip or sub-component of a microcontroller which provides the hardware to generate an asynchronous serial stream such as RS-232 or RS-485.
The "COM Port" and "UART" are probably the most closely linked in that a UART will be used in the computer to provide the hardware that Windows sees as a "COM Port".
The JTAG is completely unrelated.