  The structure and kinematics of the recognized stellar components of the
Milky Way are explored, based on well-determined atmospheric parameters and
kinematic quantities for 32360 calibration stars from the Sloan Digital Sky
Survey (SDSS) and its first extension, (SDSS-II), which included the sub-survey
SEGUE: Sloan Extension for Galactic Understanding and Exploration. Full space
motions for a sub-sample of 16920 stars, exploring a local volume within 4 kpc
of the Sun, are used to derive velocity ellipsoids for the inner- and
outer-halo components of the Galaxy, as well as for the canonical thick-disk
and proposed metal-weak thick-disk populations. We first examine the question
of whether the data require the presence of at least a two-component halo in
order to account for the rotational behavior of likely halo stars in the local
volume, and whether more than two components are needed. We also address the
question of whether the proposed metal-weak thick disk is kinematically and
chemically distinct from the canonical thick disk. In addition, we consider the
fractions of each component required to understand the nature of the observed
kinematic behavior of the stellar populations of the Galaxy as a function of
distance from the plane. Scale lengths and scale heights for the thick-disk and
metal-weak thick-disk components are determined. Spatial density profiles for
the inner- and outer-halo populations are inferred from a Jeans Theorem
analysis. The full set of calibration stars (including those outside the local
volume) is used to test for the expected changes in the observed stellar
metallicity distribution function with distance above the Galactic plane
in-situ, due to the changing contributions from the underlying stellar
populations. [abridged]
