A transformer is a device that allows you to step up or step down the voltage, or even leace it the came, the latter is generally known as a 1:1 isolation transformer.
Most of you will want a transformer to step the voltage down to something suitable for your project, but first a little about transfomers of this type
A transformer consists of one or two primaries and at least one secondary winding, they can also be supplied as 'centre tapped', these are generally found in cheaper power adaptors.
For info of how they work it is probably best to look at the Wikipedia page, you willl also find formulas for working out the winding detail if you want to try making your own, or rewinding a secondary to suit your needs.
Essentially you can work out the power (close enough) and see that say a 240 volt 1 Amp transformer will give about 24 Volts at 10 Amps on the output.
Another type is the Autotranformer, unlike above, this has just one winding that acts as primary and secondary, these are not isolated from the supply, so caution must be used.
The most well know autotransformer is the 'Variac'