Let's take a moment to marvel over the wonders of helium. It's transparent, odorless, and quite festive looking when put in party balloons. Let's also marvel over just how floaty it is. When it is released, it just keeps floating up, and up, and up, and up, and up and...you get the picture. It will keep floating up forever until it hits something. For instance, your living room ceiling does a nice job of stopping the helium balloon from floating higher. But how does helium do this...?
It's all a matter of density. Helium is less dense than the air around it, causing it to float upwards. If there hadn't been marvelous living room ceiling to stop the balloon, it would have floated off into infinity. Or so it seems. Eventually The balloon may loose it's helium. Or, the more likely situation: the balloon will pop!
Once you have finished marveling over the wonders of this floaty substance, let us now try another thing. Inhaling the helium can cause your voice to change over an octave from it's normal tone. One tip for inhaling the helium: empty out your lungs of normal air, then breathe the helium in. After you have done that, talk! Be amazed at the delightful *squeek* of your voice. But you may still be left with these questions: where'd the squeek come from? How'd it do that your voice?
The speed (and pitch for that matter) of the sound varies on the molecular weight of the gas that you breathe in. The molecular weight of dry air at 0ºC is about 28.964, while helium is about 4.003 at the same temperature. The speed of the sound in dry air (at 0ºC again) is about 331.3 m/s, while in helium the speed of sound is 891.2 m/s. Therefore, frequency of the sound in helium is almost 2.7 times higher than the sound in dry air. This causes the octave change in your voice.
More help? see: http://www.howstuffworks.com/ddhelium.htm
One thing that people should be aware of before trying is the risks of helium. Since your body has no use for helium when it is inhaled into your lungs, you are essentially holding your breath for that whole time. Remember to breathe. It doesn't take long for someone to loose consciousness due to asphyxia. There have been cases of known deaths due to inhaling helium. If you intake too much at a time, it can rupture a lung.
Helium that is used for filling ballons is specially made to contain a little oxygen along with the helium. This makes the helium less hazardous, but it makes it by no means entirely safe. You should consider the consequences before inhaling the helium. Though unlikely that anything will happen, it cannot be said that inhaling helium is risk free. Generally, the dangerous helium is the helium found in canisters not from an individual balloon.