Yarn overs are a type of increase that leaves a hole (eyelet) in your work. They are often paired with a single decrease to keep the total number of stitches in your round or row consistent, but they can also be used to add a stitch.
The following video demonstrates how to work a yarn over in both English and Continental knitting styles.
Inserting a yarn over between a knit and a purl (or vice versa) can get a little confusing. This video demonstrates how to do both, though only English style: