What are the differences between SDRAM and SO-DIMM RAM, and which should I use for my iMac? I've started virtualizing Windows 7 on my Mac and I've realized 4GB of ram simply isn't enough for listening to music, surfing the web, virtualizing Windows, and running a compiler all at once.

The first thing I did was look on Apple's site and see what specs I needed to look for..I bought my iMac in the spring of last year so the specs for new ram are as follows: 
1333MHz DDR3 (PC3-10600)

So I read that and thought, okay, and then I read their price, $ 200.00 for just 4 GB. Wait a second, maybe a little out of my price range. Then I hit up sites such as NewEgg, and found some pretty good deals; however, I found that some of them were labeled SDRAM and some SO-DIMM, and I guess my question to you folks is: What are the differences between SDRAM and SO-DIMM RAM, and which should I use for my iMac?
You're getting your terminologies mixed up.

SDRAM (Synchronous Dynamic Random Access Memory) is just the type of RAM on a DIMM. In your case as you've stated it's DDR3 (3rd generation of Double Data Rate)

A DIMM is a standard format Dual In-line Memory Module. These have different pins for the different types of memory specification, so a DDR3 module will have a different edge connector to a DDR2 module and so on.
A SO-DIMM is a Small Outline version of a DIMM, hence the "SO". These were designed for laptops where full size DIMMs wouldn't fit.

Apple use SO-DIMMs in their iMacs now, so DDR3 PC3-10600 (10600 is the peak transfer rate, so going lower than this will be a bad thing for performance) SO-DIMMs are what you want to get.