For example, the Lie algebras of $SO(4)$ and $SO(3,1)$ are the same, called $D_2$ and isomorphic to $A_1 \times A_1$ ($= \mathfrak{su}(2)\times \mathfrak{su}(2)$).
Thus $SO(4)$ is a ([...] compact?) form of $D_2$ and $SO(3,1)$ is a ([...] non-compact?) form of $D_2$
In addition, for almost every Lie group the Wikipedia article talks about the various forms of the Lie algebra (e.g. here).
What does it really mean that there are several (non-isomorphic) groups which are "forms of the same Lie algebra"?