What is the difference between the HVR-Z1E, U and J ?

No real physical difference; the letters simply designate which world market each model is intended to go to. E for Europe, J for Japan, and U for North America. If I'm not mistaken, there are also separate model designators for China and a few other markets as well.

The primary internal difference will be the language selection options in the internal menu displays; the primary external difference will be the language that the various control labels are printed. Operationally there should be no real difference. Hope this helps,

Thanks! :-)

Differences might be just charger/psu or its plug...