There are 14 different movement commands. These are used so often that most have very short abbreviations which you ought to use instead of the full-length version - NW is much quicker than NORTHWEST, for example. The main directions are the 8 compass points, N, NE, E, SE, S, SW, W, NW. It is assumed that you "just know" which way is N wherever you are in the game, so there's no use of relative directions like left or right.
As well as these 8 directional commands, there is U and D for UP and DOWN. These are sometimes more convenient than compass points, although they normally match one of them. For example, if you're going up a hillside it's quicker to type U a few times than to read the room description in full to find out exactly which direction actually IS up!
A similar pair of convenience commands are IN and O (for OUT). If you're next to some opening, IN will normally take you through it (unless it leads outside). Although IN won't always work, you can use O almost anywhere - it moves you one room towards the room most centrally located in the game, which is nominally the point where the road fords the river. If you're ever lost, keep repeating O until you find somewhere you recognise.
Similar to O is the SWAMP command, which moves you one room towards the swamp from anywhere on the surface. You may have to do a few Os before SWAMP will work if you're deep underground. See the question on how to get points if you want to know why this command is so handy!
The last movement command is JUMP (or LEAP). This command is not used very often, and implies that there is a drop of some kind, over or down which you wish to move. Don't use JUMP casually, it can easily get you killed. As well as these 14 movement commands, there are other, magical ways to move about, but they're too high-powered to be discussing here.