You can say - I'm envious. For example,
A: I just got a new iPod touch 200gb
B: I'm so envious!
Envious usually has the better meaning. Jealousy is more of a secret hate for someone because they have something you have. These two words sometimes have the same meaning for some people though.
EDIT: envy is more of a personal feeling. You feel unhappy or discontent because of someone else's success or advantage. Jealous means you hate the person that has the success or the advantage. So, envy is more of a personal feeling whereas jealousy is hatred against a rival or opponent.