Wikipedia.Org has an excellent introductory article about Omega-3 fatty acids. Below are key excerpts from the article (reference link below):

N−3 fatty acids (popularly referred to as ω−3 fatty acids or omega-3 fatty acids) constitute a series of essential unsaturated fatty acids that have a final carbon–carbon double bond in the n−3 position, that is, the third bond from the methyl end of the fatty acid. Nutritionally important n−3 fatty acids include α-linolenic acid (ALA), eicosapentaenoic acid (EPA), and docosahexaenoic acid (DHA), all of which are polyunsaturated. The human body cannot synthesize n−3 fatty acids from scratch, but it has a limited ability to form the “long-chain” n−3 fatty acids EPA (20-carbon atoms) and DHA (22-carbon atoms) from the “short-chain” eighteen-carbon n−3 fatty acid ALA.

Essential fatty acids are molecules that cannot be synthesized by the human body but are vital for normal metabolism. One of the two families of these essential fatty acids is the omega-3 fatty acids. Because omega (ω) is the last letter in the Greek alphabet, the naming system counts from the last of the carbons to the carbon-carbon double bond. Likewise, the preferred n–3 nomenclature uses the letter “n” to mean the number of carbon atoms in the chain. If the fatty acid has this third-to-last double bond, it is called an ω–3 (“omega minus 3″) fatty acid. Common sources of n–3 fatty acids include fish oils and some plant oils such as flaxseed oil and algal oil.

Structure of Alpha-Linolenic Acid (ALA)

Chemical structure of alpha-linolenic acid (ALA), an essential n−3 fatty acid, (18:3Δ9c,12c,15c, which means a chain of 18 carbons with 3 double bonds on carbons numbered 9, 12, and 15). Although chemists count from the carbonyl carbon (Blue Numbering), physiologists count from the n (ω) carbon (red numbering). Note that, from the n end (diagram right), the first double bond appears as the third carbon-carbon bond (line segment), hence the name “n−3″. This is explained by the fact that the n end is almost never changed during physiologic transformations in the human body, as it is more energy-stable, and other carbohydrates compounds can be synthesized from the other carbonyl end, for example in glycerides, or from double bonds in the middle of the chain.

Structure of Eicosapentaenoic Acid (EPA)

Structure of Docosahexaenoic Acid (DHA)

List of n−3 fatty acids

Table lists several different names for the most common n−3 fatty acids found in nature.

Reference to original article: http://en.wikipedia.org/wiki/Omega-3_fatty_acid