Basically yellow in Italian, or more specifically, a sub-genre of extremely violent horror/thriller/mystery movies pioneered by Italian directors Mario Bava in the 1960s and Dario Argento in the 1970s. The genre took its name from the yellow-jacketed pulp mystery and detective novels (penny dreadfuls), which were in turn mostly of British and American origin and were extremely popular in Italy since the 1930s. It is also helpful to know that in Italy yellow is the color of fear.
The giallo predated the American slasher movie by several years and largely inspired it. Basic Instinct and several movies by Brian De Palma (Dressed to Kill, Blow Out) show an unmistakable giallo influence. The peak of the genre was in the early and mid 1970s, with dozens of movies produced, and it came to an end in the early 1980s, although some gialli are still produced in Italy and elsewhere.
Major characteristics of the genre:
Some credit is due to Images Journal, Kinoeye and eSplatter.