Yod is the tenth letter of the Hebrew alphabet, and as a consonant has the value Y as in yes, you, Yehudi.
It is the smallest Hebrew letter, consisting of nothing but the tittle or small mark at the top of the line. In other letters the tittle is like a serif used to distinguish one letter from another, but with yod it's all that's left, like the Cheshire cat's grin. See under tittle for why we say jot and tittle for very small, precise things.
In ancient Latin this same Y-sound was written I, and later changed in pronunciation to the J-sound of jam, Jerusalem. In the Middle Ages the letter J was invented for it. So Biblical names containing the Hebrew consonant yod usually occur in English with the J spelling and pronunciation: Jerusalem, Joel, Jehovah, Elijah, etc etc.
In addition to its consonant value, yod was also used to indicate a long vowel when the vowel was one of those physically closest to the Y position, viz I and E (called in Hebrew hireq and tzere*), as in bêt 'house' (in the construct state, the form used before other nouns).
It is also used to indicate diphthongs ending in I (or in Y, if you prefer: it makes no difference), as in goy 'people, non-Jew, "gentile"'.
It is not certain how these vocalic and diphthongal usages were actually pronounced in Biblical Hebrew, i.e. the everyday spoken language of the Israelites. It is by no means certain that I by itself was short and I+Y was long. Contemporary manuscripts vary to some extent. The Y to indicate a long vowel is called a mater lectionis 'mother of reading': they were to some (unknown) extent used as aids to reading at the time before a complete system of vowel signs had been invented. (Hebrew was originally written with consonants only.) In modern Hebrew these matres lectionis are more commonly used.
Hebrew letters are also used as numerals, so the tenth letter yod means 10. It combines with smaller numbers, e.g. yod-aleph = 11, yod-beth = 12. But for 15 the regular combination yod-he was avoided, since it occurred in the unspeakable divine name YHWH. So they used teth-waw* (= 9 + 6) instead. Likewise for 16.
The name yod may also be seen as yodh (representing the Masoretic and mediaeval Hebrew) and yud (in modern Hebrew, which I don't know at all) and jod (in the King James version of Psalm 119). It has been sort of adopted into linguistics as a name for the Y sound, because it's neutral to whether you represent it with the correct IPA symbol [j] or the common but less correct English-language alternative [y].
* Various transliterations possible; Hebrew has a long history.