Sketches--- sketches can be anything... layout 
sketches, genga, douga. Calling them all sketches 
is the easiest thing to do, though of the three, 
I really like my layout sketches the best. If you 
get some good layout sketches, you can really get 
close to the intent of the original artist, and a 
lot of that talent and artistry really shines 
through. The finished product (the douga) can be 
very cold and empty by comparison, and can really 
lack the energy of the layout/concept sketches, 
but the finished product does have more precision 
and care put into it. And some layout sketches 
are little more than scribbles. ^_^ I tend to 
only get them by accident, usually when I buy a 
cel that has its original background.

Douga are the finished sketches. The pencil lines 
correspond to the black lines of the cel; the 
colored lines show the shifts in color (ie, 
shadow/highlight).

Genga (I think!) are sort of an in-between step 
between layouts and douga. There's a layout 
sketch for every sequence (I think); there's a 
douga for every cel; and there are multiple genga 
per sequence, but not enough so that there's one 
for every cel. They sort of show the progress of 
the scene, and (I think!) key animators tend to 
be more responsible for genga, and the other 
animators tend to use them as references. But 
I've always had a hard time with genga.

Settei sets are what the animators use to refer 
to things like layouts (ie, the castle looks like 
this from this direction, but like that from that 
direction); for character design (this outfit 
looks like this); for accessories (weapons, 
jewelry, etc); and so on, so that everyone is 
standardized. Sometimes there are even manga 
scans included in settei packets, and they've 
been written on with animators' notes. :o) Settei 
sets are usually more of a "grab bag" than 
anything standardized. You might have multiple 
pages of one page, and one might be a clean, 
crisp copy, and the other might be an nth 
generation copy. Or you might have all the 
characters, except for one popular one, because 
the person you sold it to liked it enough to keep 
it in reserve for themselves when they put the 
rest of the packet up for sale. Occasionally, 
settei gets published in books (for example, I 
have a Konjiki no Gash Bell settei book), but it 
generally gets sold in packets that the animators 
had disposed of in one way or another, and they 
made their way to the general public.

The settei I have at the bottom are from a game, 
but they look the same whether they're from a 
show or a game. I happen to like settei very 
much, even though it's photocopied. It's a fun 
extra peek into the animation process. :o)