A Sport Utility Vehicle can be two wheel drive (meaning either the front or rear wheels drive the car), an all wheel drive (meaning the four wheels drive independently) or a 4×4, which is an all wheel drive system that turns on and off with a switch in the passenger compartment.
4×4's are usually primarily off-road vehicles. SUVs (for the most part) are soccer-mom urban assault vehicles that will never see a patch rough terrain.
An SUV is a body type, while 4X4 is a description of a drivetrain. The term SUV can describe a variety of vehicles, while 4X4 merely says a vehicle has power applied to all four wheels.
All 4x4s are SUVs, but not all SUVs are 4x4s.