Most of the east coast of New Jersey borders the Atlantic Ocean. The Atlantic Ocean is the second largest ocean in the world (after the Pacific). If you continue due east across the Atlantic from New Jersey you reach Portugal and Spain.
New York state borders the northernmost part of New Jersey to the east, and borders part of New Jersey to the North. New York state includes New York City, the most populous city in the United States; New York City is separated from New Jersey by the Hudson River.
Pennsylvania borders New Jersey to the west. Philadelphia is separated from New Jersey by the Delaware river.
Delaware borders New Jersey to the southwest and west, across Delaware Bay. Delaware was the first state to enter the United States in revolutionary times.