If you're moving, you have energy—kinetic energy to be precise. Kinetic energy is simply the energy an object possesses because it has both mass and velocity (speed in a certain direction). The more mass you have (effectively, the heavier you are) and the faster you're going, the more kinetic energy you have.
That's all well and good, but what if you suddenly need to stop? To change from moving quickly to not moving at all, you have to get rid of your kinetic energy.
If you're jumping from an airplane, the best way to lose energy is with a parachute. This giant sack of fabric drags behind you, slowing you down, reducing your velocity, and therefore helping to get rid of your kinetic energy. That means you can land safely. Drag-racing cars and land speed record cars also use parachutes to stop but, in practice, most vehicles simply use brakes.
From cars and trucks to planes and trains, brakes work in a similar way on most different vehicles. There are even brakes in wind turbines! Here's a quick comparison of some common brake systems.
Bicycle
If you ride a bicycle, you know all about brakes. If you want to stop suddenly, you squeeze the brake levers on the handlebars. Thin metal cables running to the back and front wheels pull on small calipers, forcing thick rubber blocks to press against the wheels. As they do so, friction between the blocks and the metal wheel rims generates heat, reducing your kinetic energy, and bringing you safely to a stop.
Steam locomotive
The brakes on a steam locomotive work the same way as a car's and are even more obvious. You can see the brake just behind the wheel in this photo. It clamps against the locomotive's driving wheels to slow them down. Since there are no tires on the wheels, the friction that stops the train comes from the immense weight of the locomotive pressing the metal wheels down onto the track.
Motorcycle
Motorcycles typically have disc brakes comprising a rotor and a brake block. The rotor is a disc with holes (or slots) in it mounted on the side of the wheel. A brake pad, operated by a cable, jams against the rotor to slow it down by friction. The holes in the rotor help to dissipate the heat generated.
Airplane
Airplanes have brakes inside their wheels to help bring them to a stop on the runway, but they can also use air brakes to increase drag (air resistance) and slow themselves down—a bit like parachutes. Jet fighters often have a speed brake, which is a large metal plate just behind the cockpit that can be hydraulically raised to increase drag and braking.
Wind turbine
Wind turbines have brakes to stop their rotors (propellers) turning too quickly. The brake is mounted inside the nacelle (the square-shaped casing behind the propeller that contains the gearbox and generator). Most turbines have an anemometer on them to measure the wind-speed. If it rises above a safe level, the brakes come on automatically and bring the rotors to a standstill. It's a shame, because higher wind speeds mean more energy could be produced. But safety always comes first!