Pudding = Angel Delight (very similar, except its pretty much only cold milk variety)
In the back of my Better Homes & Gardens cookbook (from the states) it lists common product differences for American ingredients (some have already been mentioned, so I omitted):
Sugar (white) is granulated, fine granulated or castor sugar
Powdered Sugar is Icing Sugar
All-purpose flour is enriched, bleached or unbleached white household flour. AKA plain flour in the UK.
Light-colored corn syrup is golden syrup
Cornstarch is Cornflour
Vanilla or Vanilla extract is Vanilla Essence (shops do sell it as Vanilla extract though you can see it as Essence in some recipes)
Green, red or yellow sweet peppers are capsicums or bell peppers
Others I don't think I've seen mentioned are:
Conflour is Polenta here
Romaine lettuce is Romaine lettuce - that's what I've seen it sold as, but cos lettuce is another proper name of it...
Fig Newton are Fig Rolls here (not quite as soft as Fig Newtons, but still nice & figgy, but with a crunchy biscuit)
Bisquick is Bisquick here
Relish (pickle) is Gherkin Relish (Branston do a nice one in their Relish range, but it can be a bit tricky to find)