First of all, the period and letters : ".jpg" are an extension that becomes part of a file name when the artist or computer user needs to be able to know the file format type and when a specific type is desired.
As images are produced in various software programs, they can be "saved" or "exported" in a variety of ways depending on the power of the software program being used and the needs of the designer.
For example, Adobe Photoshop® allows users to save files as ".psd" files (capable of being opened only in the photoshop program but retaining all manner of good stuff like layers and channels!). Photoshop also has the power to Save or Export as a variety of "generic" types that can be opened or placed in a broad range of applications.
.jpg files are "generic" files that can be used in a variety of applications. One of the currently popular uses is for work involving the internet or world wide web. .jpg files are compressed files and allow a great deal of information about the image to be sent through cyberspace with the greatest possible efficiency.
When a .jpg file is "insert"-ed into an email document, the recipient of that document may or may not be able to see the image as part of the email depending on the capabilities of the email program and browser software being used. If the .jpg file has been attached to an email, the recipient will need to have a software program capable of viewing images and with enough power to "open" or "import" or "place" or "insert" the .jpg image.
What does it look like to "make" a .jpg file?
For this information bulletin, two approaches will be illustrated and discussed.
1. In Adobe Photoshop®, an image is created or scanned into the program. Various adjustments can be made to the image along the way and, generally, the wise artist will SAVE a .psd copy before doing anything else with the image.

Notice that the File menu includes the "Save", "Save As", "Save a Copy" and "Save for Web" options. The "Save for Web" is new to versions 5.5 and 6.xx. When you use the Save or Save As options, you should get a little dialog box that looks like:

In Photoshop, there is a preference that can be set that automatically adds the extension to the file name. In the above case, the .psd indicates that the Format is for Photoshop.Notice that the extension agrees with the format type. This MUST happen.

Using the Save a Copy option and then selecting from the Format menu (notice the little arrows to the right of the JPEG name....) allows for a file to be saved as a .jpg file. Notice that both the extension letters and the format type agree!
I can hear you asking already.... why does it say JPEG (four letters) but only uses .jpg (three letters) in the file name??? Good question and I'm really happy that you are asking this!
JPEG stands for Joint Photographic Experts Group. However, only three letters are necessary and PREFERRED by browsers and many WINDOWS® applications so the actual filename should only include the appropriate three letter extension! This standard is currently accepted internationally(with an exception or two, of course)! Remember these fine photo expert professionals but only use the three letters in the actual extension....thank you.
When "Save for Web" is used, files can be compressed and "optimized" especially for web use. I'll try to do that another time. For now, if you are in the advanced versions of Photoshop, check your manual or online help option for more information and instruction on using this option.
In Adobe Illustrator (versions 8 and up) the two major options look like the following.

The File menu shows us "Save", "Save As" and "Save a Copy" options but they only permit saves as xxx.ai files. I can see your bright mind working again to ask me about those two letters in the file extension. Illustrator is also a special situation and only requires the "a" for "Adobe" and "i" for "Illustrator". This will save the proprietary file that can be opened again in Illustrator and the extension always lets us know what program we created it in.
Note the word "Export" at the bottom of the file menu option illustrated above.

When saving, our working file can be labeled so that everyone knows where the document came from and how it can be opened again for further work. There are other format options available (notice the arrows to the right of the word "Illustrator".

The files can also be "exported" to be able to be used in that variety of ways....and the file name extension added to the document name.
So what's with the use of the _ ? Another astute observation and very good question! In web work, spaces aren't universally allowed so, whenever a filename is more than eight characters OR whenever someone needs a space to make better sense of the filename, an underscore is used instead of a space. NO OTHER CHARACTERS are to be used for this, by the way.... not periods or slashes or stars or ampersands or anything else on the keyboard! ONLY _ and only one of them at a time, not two or three or seven....This is very important. So glad you asked.
To close, .jpg files are used for electronic transmission and whenever compression will help efficiency as well as effectiveness. They are NOT recommended to be used for print and page layout purposes.
When this format option is selected, the user is also often asked for a level of quality for the compression. The higher the quality level, the larger the file size. The lower the quality, the smaller the file size. MOST files transmit very nicely at a medium setting.
Also, and especially for web work, there are "standard", "optimized" and "progressive" options. Standard or optimized are generally the best. Progressive is rarely used anymore but allows the receiver to begin seeing the image and then continue to have it fill in over a designated number of "steps" (generally 3).
Artists and photographers seeking more security for images on the Web may now employ a service from DIGIMARC (503) 223-0118 or (800) 344-4647 that tracks authorized and unauthorized online uses of works with watermarks.
DIGIMARC's "MarcSpider" searches the Internet for digital watermarks so that content creators can easily locate copyright violators.
The Portland, Oregon-based software company also creates products to embed imperceptible and unique digital watermarks within images.
An artist's journal is one of the most fun things an art person can do! This is a private diary or public record, whatever you would like, that is used to grow and develop ideas on as frequent a basis as can ever be possible. The journal is a sketchbook that is carried close at hand and on many adventures so that an idea is never lost for lack of trying! This journal can have verbal as well as visual entries. If you also compose music, add that feature. If you collect feathers, glue them into the book. If you want to cut images from magazines or books of your own and put them into this record of your visual growth, do it!

For a wonderful example of artist-journal keeping, check out Amazon.com for :
Claudia Nice : How to Keep a Sketchbook Journal
Is any of the above info of help to you? Do you still have a question? Could something be clearer?
Please comment in an email to me! Thanks, Ginny.