A saxophone is a brass instrument that you play by blowing into a mouthpiece and pressing keys to form musical notes. John Coltrane and Charlie Parker (and Lisa Simpson :) were famous saxophone players.
Saxophones are similar to instruments like clarinets, because both use a reed mouthpiece and are considered woodwinds. The saxophone, however, also qualifies as a brass instrument, like the trumpet and the tuba, since it's made out of brass and makes sound through vibrations inside the instrument's body. The word saxophone comes from Antoine Joseph Sax, the Belgian inventor of the saxophone. Sax's father, also named Sax, invented the less successful saxhorn.