An orbit is formed when a celestial body passes by a larger one at such a distance that its velocity is in perfect balance with the larger one's gravity. This means that the smaller object doesn't fall, nor does it continue in space. Instead, it travels in an ellipse or circle around the larger object forever.
The speed necessary to maintain an orbit depends on the distance from the body and its gravitational force. According to the Stonybrook Astronomy Program, this is found in the formula V = (GMd)^1/2, where V is orbital velocity G is the gravitational constant, 6.67 * 10^-8; and d is the distance between the two bodies. Technically, there are no absolute reference points in space, so it can be said that all bodies in space orbit one another.
Escape velocity is the velocity required to overcome the gravity of a celestial body. For example, Earth's escape velocity is 7 miles per second. Black holes, the universe's sinkholes, have an escape velocity faster than light, so nothing at all can escape.
Not all orbits are circular; in fact, many orbits are slightly elliptical. Also, an orbit can have two or more foci, but having more than two is extremely rare. Binary star systems could theoretically have a planet orbiting them.