worsted is a weight measurement; it's a mid-weight yarn that has multiple plies (threads) twisted together (I think it's traditionally four-ply???).
Here's the standards chart of different kinds of yarn
yarn standards: weight
Maybe someone can be more descriptive then me but I think the best thing to do when learning about yarns is to go into LYS and touch some different weight yarns
[size=2]ETA: what Ingrid said. She's so smart! (but apparently I can't type edit #47)[/size]