Aerobraking
Aerobraking is a technique to lose velocity after reaching a planet.
Usually when you enter the sphere of influence of a planet, your relative speed to it will be much too high to enter an orbit, unless you expend a lot of fuel. In order to save the fuel, you can either perform a gravity assist around a moon, or you can perform an aerobraking maneuver to lose speed.
To perform an aerobrake, you need a planet or moon with an atmosphere. Change your trajectory so that it leads you through the atmosphere of the planet. The atmospheric drag will slow you down enough to reach an eccentric but stable orbit around it without costing you any fuel.
Aerobraking is a dangerous maneuver. When you dip too deep into the atmosphere, you lose too much speed and risk crashing. When you don't dip deep enough, you might not lose enough speed to enter an orbit. Usually it is better to be careful, because even when your orbit turns out to keep you just barely in the SoI of the planet, the orbit allows you to perform another aerobreak to slow you down more. For the ideal height for an aerobrake maneuver, consult the article about the planet.
The following planets and moons have an atmosphere which allows aerobraking:
