Helium is an inert gas which is lighter than air. Its symbol on the periodic table is He, and the atomic number is 2. Because it is lighter than air, non-flammable, and environmentally friendly, it is an ideal gas to fill balloons with. Because the balloons will float away, they must be secured with weights or tied down.
Helium is also used to cool electromagnets in scanning machines and spacecraft. Sometimes, as a joke, people will inhale the helium from a balloon and speak in a high voice. As long as it is done safely, there is generally no risk.