Ply is the number of smaller strands that are twisted together to make one strand of yarn. Yarn can be more loosely or more tightly plied, giving a different look to the yarn and to the overall project. Oftentimes the higher the ply the thicker the yarn. However, don't assume that yarn ply and yarn weight are the same thing. For example, worsted weight yarns can be 4, 8, or even 10 ply. Let's look at some pictures to help us wrap our minds around ply.
This super bulky yarn has one ply. Only one strand of fiber is twisted. The twist of the fiber is the only thing that separates one ply yarn from roving.
This sport weight yarn is two-ply. See the two smaller strands that make up the larger single strand of the yarn? Also notice that is it much more slender than the previous yarn even though it has another ply.
Here is a four-ply worsted weight yarn.
Here's another worsted weight yarn, but this one is eight-ply. Notice the difference in the texture of the yarn compared to the other worsted example.
I hope that ply is no longer a mystery to you. Try playing around with differently plied yarns to see what you like to crochet with the most!