There is a basic list here: http://www.health.uottawa.ca/biomech/csb/laws/thermos.htm [Broken]
The 3 after zeroth are easy to remember.
You can't win
This is the law of energy conservation, or law number one. It states that in any closed system, you will always wind up with the same amount of energy you started with. For example, take X amount of matter, which has a certain rest energy amount. If you were to attempt to completely destroy the matter, it would merely be converted to another form of energy. (ie. heat, EM radiation) The total amount of energy from this heat would still be equal to the original amount the matter had. Basically, energy can neither be created nor destroyed. Hence the title, you can't win.
You can't break even
This is the second law dealing with entropy. The disorder of a system can never decrease. Take the example above of matter, for example. If you convert the matter into radiation, the total amount of energy in the system stays the same, but the potential energy has decreased. The radiation that carries the energy from the now absent matter cannot be used to do work. One example of entropy is the universe as a whole. As time goes by, most of the energy in the universe will be in the form of radiation, and cannot be used for work. Hence, the universe dies a "heat death" and humans are screwed.
You can't leave the game
The third law states that the temperature of absolute zero for a system is impossible. There was an article about this on Physics Post, at [Removed Broken Link]
The explanations above are not the most detailed, but maybe someone here can provide more insight.
One comment: The second law states that for a closed system entropy can never decrease.
It is certainly possible to decrease entropy by shuffling it to a different place. For example, a freezer freezing water. Ice has less disorder than water. To freeze it, you need to take the 'disorder' from the water and push it into a different place: The air outside the refrigerator.
The zero'th law is really simple.
If particle A is the same temperature as particle B, and particle B is the same temperature as particle C, then particle A is the same temperature as particle C.
The point is that there is a rule which governs thermometers. It's a 'duh' type statement, but the three laws have nothing in them which say that a thermometer which reads 20 degrees for one object will actually read 20 degrees for another object.