Gyroscope is a device used to measure angular velocity. 3-axis gyroscope measures orientation in all three directions. Physics of gyroscope is based on angular momentum which allows it to be used in many areas like flight control, missile guidance, games etc. In modern electronics usually there are MEMS gyroscopes used that are small to fit in any device. Praven has shared his experience with interfacing GY521 gyroscope module to Arduino. This module also has a 3-axis MEMS accelerometer. Both of them fit in to small MPU6050 IC package which already has 6 built in 16-bit ADC channels. So each sensor has its own ADC. Module can be interfaced via 2C interface.
Sensitivity of gyroscope can accelerometer can be programmed depending on application. If you know some terminology of flight then you should know Pitch, Roll and Yaw that correspond to angular velocity of plane on every axis. Gyroscope measures these velocities and by knowing time between measurements we can estimate angular displacement. This way flight controller measures it and tries to keep flying object stabilized. Praven wrote a simple Arduino program which calculates pitch, roll and yaw from gyroscope readings and logs in to terminal window. Once you get it working, you can move on and read accelerometer to find out an orientation