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The FA Cup is a simple knockout competition, even involving semi-amateur sides at the start.
The professional sides are organised into 4 leagues of about 20 teams each (each year, the 3 best in each league get promoted up, while the 3 worst get promoted down. Occasionally, if their stadium and finances are good enough, a team from outside the league gets promoted into the 4th league). Chelsea won the 'Premiership' - the top league. Each team plays every other team twice in the year - once at home, once away. Like securing a playoff spot in most American pro sports systems, this can happen before your last game if you've done well over the year, which is what Chelsea did. Since it involves having the best record over the whole year, most people regard winning the Premiership as proving your team are 'the best'.
There is also a (knockout) League Cup, just for the teams in the 4 leagues. This hasn't been going as long as the FA Cup, and has less prestige - its name changes regularly with its sponsor. It's currently the 'Carling Cup', after the brewer.
There are also 2 European competitions. The top 4 teams from last year's Premiership compete in the European Champions' League - which is part knockout, part 'pool' system. Eventually, they get down to 16 European teams, and it's a knockout competition from then. The Chelsea - Barcelona game on Wednesday is the final - about 8pm British time, so you'll see a recording unless it's in the middle of the day for you. The UEFA Cup is the other European competition, taking the teams that didn't quite qualify for the Champion's League, and those knocked out from its early stages. The Carling Cup winners, and the FA Cup winners (or runners-up, if the winners, like this year, are going to the Champion's League anyway) also get into the UEFA Cup.
It's all quite complicated, but the advantage of this is that interest for at least half of the teams in the leagues reamins right up until the end - they might get promoted, relegated, qualify for Europe next year, or actually win something. While the Premiership involves a year-round performance, the Champions' League involves playing against a good number of Europe's best clubs (and, at the moment, that means most of the world's best players, since a lot of South Americans, Africans and others play for European clubs).
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