A bay is an inlet along the shoreline of a body of water. A bay window occupies a similar inlet in a room. When you keep someone "at bay" you hold them off.
The different meanings of bay come from different origins. For example, the idea of the word as a cove comes from the Latin bāia, while the idea of an opening is a wall is from the Latin batāre, meaning "gape." The word that means a dog's howl, however, comes from the Latin baubari, which means "to bark." Other meanings of this versatile word include a horse with reddish coloring, and a tree with leaves used to add flavor in cooking. There's nothing quite like riding a bay along the scenic bay while listening to the hounds bay!