Here is a great article by the philosopher Jeff Mason, in which he explains Kierkegaard’s different forms of life: the aesthetic, ethical, and religious. All three forms of life are attempts to escape the universal condition of despair, according to Kierkegaard.
As Mason explains, Kierkegaard thought that an individual’s life is defined by what one relates themselves to. The aesthetic life is lived when an individual relates to themselves. That is, such an individual lives for themselves, and seeks out novel experiences of beauty and pleasure. The ethical life is lived when an individual relates (and thus defines) themselves to other people. Such an individual lives a life of duty, and seeks above all else to serve others. Finally, the religious life is lived when an individual relates themselves to something which transcends their own self, other people, and even this world. Such an individual ‘rests’ their identity in the absolute.
In this article Mason very clearly explains these three forms of life in a manner which forces the reader to contemplate their own way of life: http://philosophynow.org/issues/24/Soren_Kierkegaard