PHP
Although jQuery adds some dynamism to the visual experience of a website it is with the addition of a language like PHP that a site becomes truly energised.
With PHP you can serve different content depending on the user input or even the time of year or day. This allows for interactive product catalogues, password protected pages, mailing list sign-ups and much more.
Of course, this all requires information. It could be information about the products you offer or the people who use your site. All this needs to be stored somewhere and that is where mySQL comes in.
MySQL
MySQL is a database technology and it can store all the information about your products or the users of your site.
For a nice example of PHP and MySQL being used to display catalogue information (with a splash of jQuery included) follow this link.