What are parts of a pulley?

Wheel and axle.

* Correction - The proper names for a pulley, which is a part of a set of "blocks" include the sheave (the wheel), the axle (supports the sheave which rotates around it), the thimble or terminal (a hook or loop), the cheek (to the side of the sheave), and when it is set up, it includes the line (the rope). Assembling the line properly through the blocks is called "reeving".