VR means Vibration Reduction (Nikon) - it is an electronic feature built into the lens that provides stabilization so your shots won't be as shaky - you won't have that hand held jitter that makes your images fuzzy.

When you see OS, it is mostly used by Canon and Sigma (I'm sure there are others - those 2 only came to mind as the most prodominant ones) - it means Optical Stabilizer - same thing as VR - different brands call them different things.

Olivier already gave you some examples:
ED - Extra-low Dispersion glass - more light passes through this type of glass allowing for faster shutter speeds with lower available light. (or a pain in the butt if you're using strobes set to their lowest levels and WANT to open your lens to its widest aperture and CAN'T!!! - but that's another thread...)

USM - Canon - Ultra-Sonic Motor - much faster motor that is very quiet - so you won't disturb the wedding, or scare the birds you are trying to shoot. Sigma calls theirs HSM - Hyper-Sonic Motor - same thing. Nikon used to call theirs AF-S (AutoFocus Silent) but they may have changed that meaning recently because I am seeing that moniker on more versions of lower-cost lenses - or they may just be incorperating it into more lenses, I dunno.

DX or DC - Sigma lenses - designed for digital cameras with an APS-C sized sensor - cannot use themon regular 35mm cameras or you'll have dark corners (vignetting).

Yeah, as mentioned above, throw out the lens you want into the forums and someone (or several of us) will have an explaination for you as to what the abbreviations mean.
Good luck and happy shooting-
-Lew ;-)