A skein is a unit of yarn as it's sold — a loosely wound, oblong bundle you can often knit or crochet straight from. Casually, 'a skein' just means one commercial ball or hank of yarn, however it's wound.
Strictly, a skein, a hank, and a ball are wound differently: a center-pull skein is ready to use, while a hank must be wound into a ball first to avoid tangling. Patterns list how many skeins a project needs, but yardage is the more reliable measure since skein sizes vary by brand.