SATA (which refers to both the connector type and the interface protocol, in this case) is older and slower than NVMe, but SATA SSDs are still noticeably faster than SATA hard drives, and they’re a worthwhile upgrade for most computers built after 2011 or 2012.
Because NVMe drives (as explained in this video) use the PCI Express (PCIe) interface to communicate with the rest of your computer, a typical NVMe SSD can be as much as six or seven times faster than SATA drives (depending on the drive you get, and what you’re doing).
M.2 refers to the type of connector they use, and NVMe is the interface protocol they use. M.2 NVMe SSDs (referred to throughout this guide as “NVMe SSDs”) are gumstick-shaped drives that fit in newer laptop or desktop computers and on most motherboards you can buy to build your own desktop PC.