Ply

Yarn can come in different sizes. When they are constructed at the factory, it is decided how many "ply"s will be in that "skein" of yarn.

The "ply" simply tells/gives you the number of little threads that is wrapped together to make up the final yarn. A lot of yarns come in 2 or 3-ply. (Just as how many threads are wrapped together to make one final rope.)

Skein is the final unit you buy to take home with you.