A Whammy Bar is a lever attached to the bridge of electric guitars that can be used to alter the pitch of notes.
The Whammy Bar is one of the most eye-catching features of electric guitars. They are also known as tremolo arm or tremolo bar, though the truth is the do NOT produce a tremolo effect at all, but vibrato instead.
They are a lever which is attached to the bridge or tailpiece of the guitar and can be pulled down/up (depending on the model) to change the pitch of the sound by loosening/tightening the strings.
Whammy bars do not change the volume of the sound, they only change the pitch, that's why their name can be misleading, as tremolo technically refers to the change of volume of the sound.
There are many models of whammy bars depending on the bridge they are attached too, being the most famous the full "floating" bridge like Floyd Rose or Ibanez's Edge Zero, and the more rudimentary ones used since the 50s on Stratocaster guitars, which only allow to pull the whammy downwards.
Below you can see these popular bridges, Strat style, Edge Zero and Floyd Rose, in that order: