This is a very popular, ultra low cost digital temperature and humidity sensor. It uses a capacitive humidity sensor, and a thermistor to measure the surrounding air temperature. The result is available via a digital signal on the data pin (no analog input pins needed). Its fairly simple to use, but requires careful timing to grab data. The only real downside of this sensor is you can only get new data from it once every 2 seconds. But, for most applications this is not an issue at all.
This module should be connected as follows:
Although it uses a single-wire to send data it is not Dallas One Wire compatible! If you want multiple sensors, each one must have its own data pin!
The DHT11 is a low cost version of the DHT22 sensor. The more expensive DHT22 is more precise, more accurate and works in a wider temperature and humidity range.