As is mentioned, Agile is a methodology, and there are various ways to define what agile is. To a large extent, if it involves constant unit testing and the ability to quickly adapt when the business needs change then it is probably agile. The opposite is the waterfall method.
There are various implementations that are codified by consultants, such as Xtremem Programming, Scrum and RUP (Rational Unified Process).
So, if you are using Scrum then you can switch between agile and scrum depending on if you are talking about the methodology or your implementation. You will want to see if the terms are being used correctly, by the context.
For example, if I am talking about the 15 min standup as part of my agile process, that is not necessarily needed to be agile, but scrum almost requires it, so when you interchange the terms, it is important to differentiate between the two concepts.