Yichud, a Hebrew word, comes from "Yachid" meaning "isolation" or "private" (thanks to TheLady for correcting my translation!)
It is most commonly used in referring to inter-personal relations and marriage. When two people, of opposite sex, who aren't close relatives, are in private together, they are in a state of Yichud. Various things determine what's private, based around on whether they can be seen, whether they can be "walked in on" etc.
Very religious Jews will avoid being in a state of Yichud until their Wedding, and then only with their new Husband or Wife. This is because one of the ways in which a Jewish couple can be married is by being in a state of Yichud - although as this requires witnesses, just spending time with a boy / girl isn't practically enough to be married.
In Orthodox Jewish weddings, immediately after the ceremony, before the reception and dinner, the couple go to a small private room to spend a few minutes together. Two witnesses will "guard" the door to ensure they really do have privacy - this is a nice custom as it means that after all the fuss, they get to spend a few minutes as "husband and wife" before having to "face the music" of the partying to follow. In theory, they have to be able to consumate the marriage in this room, although this doesn't usually happen! However, as most Orthodox Jews fast on the day of their wedding (as it's compared to Yom Kippur - they are forgiven all their sins), they will usually arrange for some drinks and snacks to be in there.