It's a cord that hangs around your neck--typically with some sort of ID badge or other credentials in a plastic sleeve on the end.
We've bought Disney lanyards in the past and used them to hold room keys, park passes and so forth. With charging privileges on your WDW resort key, I normally don't carry a wallet in the parks. I'll put my driver's license and a couple bucks cash in the lanyard pouch as well, and leave the wallet in our room.
Pin traders also use lanyards to display the pins they are looking to trade with others.