Breathing in Helium helps you do great Donald Duck impressions, but why...?
Well, Helium is several times less dense than air. It is an inert gas - meaning that it is made up from individual atoms, rather than molecules.
This means that sound travels through Helium three times faster than it can through air, which in turn raises the resonant frequencies that our throat can make - resulting in that characteristic 'squeaky' voice.
Be careful though... As much fun as it is, inhaling helium is not good for you.
Whilst inhaling it, you won't be getting the oxygen you need for normal respiration.
Breathing helium continuously can cause asphyxiation within a few minutes.