Short answer:

• terminal = text input/output environment
• console = physical terminal
• shell = command line interpreter

Long answer:

Console and terminal are closely related. Originally, they meant a piece of equipment through which you could interact with a computer: in the early days of unix, that meant a teleprinter-style device resembling a typewriter, sometimes called a teletypewriter, or “tty” in shorthand. The name “terminal” came from the electronic point of view, and the name “console” from the furniture point of view. Very early in unix history, electronic keyboards and displays became the norm for terminals.

Terminal

In unix terminology, a terminal is a particular kind of device file which implements a number of additional commands (ioctls) beyond read and write. Some terminals are provided by the kernel on behalf of a hardware device, for example with the input coming from the keyboard and the output going to a text mode screen, or with the input and output transmitted over a serial line. Other terminals, sometimes called pseudo-terminals or pseudo-ttys, are provided (through a thin kernel layer) by programs called terminal emulators. Some types of terminal emulators include:

• GUI applications running in the X Window System: Xterm, Gnome Terminal, Konsole, Terminator, etc.
• Screen and tmux, which provides a layer of isolation between a program and another terminal
• Ssh, which connects a terminal on one machine with programs on another machine
• Expect, for scripting terminal interactions

The word terminal can also have a more traditional meaning of a device through which one interacts with a computer, typically with a keyboard and display. For example an X terminal is a kind of thin client, a special-purpose computer whose only purpose is to drive a keyboard, display, mouse and occasionally other human interaction peripherals, with the actual applications running on another, more powerful computer.