The units of measure for supplements can be confusing. Mg and mcg refer to the metric system units of milligram and microgram respectively. A milligram is 1/1000 of a gram (which is about a ¼ of a teaspoon), whereas a microgram is 1/1000 of a milligram (ie: 1/1,000,000 of a gram - one millionth). Definitely look for the unit when comparing supplement products, as it can make a big difference.
IU refers to International Units, which was the standard measure up until 1980 and is still used to label some supplement products (especially vitamins A, D, and E and some enzymes). This unit is essentially an arbitrary internationally accepted and recommended amount that changes from substance to substance. It has no absolute value in weight.