Ok, as far as know, Goblins and Orcs are the exact same thing. As has been mentioned before,the foreword of the Hobbit states, "[The word 'Orc'] occurs in one or two places but is usually translated goblin." Uruk-hai on the other hand are a bit different. Firstly, there are two types of Uruk-hai. The ones that Sauron made and the ones that Saruman made. Sauron, using the magic that the maiar of Aule can perform, took larger, smarter, stronger orcs from the reglar orcs and bred them (or transfromed them directly, I'm not really sure).
Saruman had captured Dunlendings and crossed them with regular orcs. (In the movie, Gandalf said, "He has crossed Orcs and Goblin-men" This was probably a mistake because Goblin-men are Saruman's Uruk-hai. . .did you undersatnd that? It sound confusing to me).
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