We can look at types from a mathematical or a computing point of view.
Types in Computing
In computing we think of type as representing some type of data structure, this determines:
 How the memory is allocated to store the type.
 Type Safety  Allows checks to be made on what operations can be done on the data to provide some level of program validation.
See these pages for types as related to programming: 
Types in Mathematics
Types were originally added to set theory to try to resolve some paradoxes that arose. 
Another way to look at it:
A type is the range of significance of a variable, that is, the concept of a vaiable is tied up with the concept of a type.
Type Theorys
Here are some atomic mathematical types with some examples of terms that may inhabit those types:
Type  Term  

Boolean  True False 

Natural Numbers  0,1,2...  
Real Numbers  0.582  
Set  a 
Type is a collection of terms having some common property.
Terms are values (or variables, or functions like the sum of other terms).
We can think of types as classifying values. If we know the type of something we have less information than knowing its value (and also its type). If we know a value without knowing its type, for example 0 (zero) we don't know if it is a natural number, or an integer, or a real number. Hence we don't know what operations might be valid to apply to it.
Types and terms are a similar (but different) concept to sets and elements. In both cases we think about it as a container relationship.
The ':' colon symbol is used to declare the type of a given term:
Type  Term  

M  x:M  typing declaration 
If the type is not declared, it can be inferred in some circumstances.
We can have a multiple level hierarchy of types. For instance, the type 'M' in the above table may itself have a type of 'Type' ( M:Type ). However giving all higher order types the type of 'Type' could theoretically lead to circular references and hence paradoxes. Some theories allow these 'Type's to be numbered to enforce a hierarchy of universes and prevent any circular references. (see kinds)
MartinLöf Type Theorys
These are 'constructive' type theories also known as Intuitionistic type theories, that is, we can start with some atomic types as above and define compound types by building them up inductively.
There are a number of type theorys developed by Church, MartinLöf, etc. Such as:
 STT  Simple Type Theory.
 PTT  Polymorphic Type Theory.
 DTT  Dependent Type Theory.
Syntax
History: start with type theories with special types for natural numbers and truth values.
(see Lambek&Scott p129)
If A and B are valid types then we can define:
One Element Type  Natural Numbers  Container for elements of type A  Product  Truth Value  

type notation  1  N  PA  A×B  Ω  
term (for type with intuitionistic predicate calculus)  *  0,Sn  {aA  φ(a)}  <a,b>  T,, ...  
term (for type based on equality)  *  0,Sn  {aA  φ(a)}  <a,b>  aα a = a' 
where:
 φ(a) is a term of type Ω (proof of type A ??, extension of power set ??)
Product and Sum Types
Product and sum types construct a type from 2 (or more) types (A and B).
Product Type Has one constructor (formation) and multiple ways of destructuing (elimination) (projections).


Sum Type Has multiple constructors but only one way to use it. 
Sum, Product and Exponent
A type theory with Sum, Product and Exponent type is related to a Cartesian Closed Category (CCC).
A term may be represented by some variable such as x,y... or a compound term using the following:
If 'M' and 'N' are valid terms, then the following are also valid terms:
Type  Term  

M[x]  We will use this notation to denote a term 'M' with multiple values depending on the value 'x'.  
Sum  A \/ B  <M,N>  This is a union of the two types. An instance will contain an instance of only one of the types. We can recover the contained types as follows:

Product  A /\ B  (M N)  This contains both of the types (like tuples) . An instance will contain an instance of all of the types. 
Exponent  A>B  λ x:M.N  This is a function from M to N. where x is an instance of 'M' and the function returns an instance of 'N' See lambda calculus. 
Where:
 M,N are terms, that is a base type or a compound type made up as some combination of the above. That is, they are inductively defined.
 x is an instance of 'M'
Here are some more atomic types, this time denoted in a more category theory way:
Type  Term  

0  ⊥  empty type (initial) 
1  ⊤  unit type (terminal) 
2  True False 
boolean 
Constructors and Eliminators
List  +  pair  function  expression  

constructor  cons  zero() succ(n) 
λ  
type constructor  Pair  Atom  
eliminator  car 
function application  
Semantics
To put this in a slightly more formal setting see semantics page.
Dependent Types
see this page
Type Theory and Logic
There are various approaches to this:
 CurryHoward correspondence.
 A logic is a logic over a type theory.
CurryHoward
There is a correspondence between constructive (intuitionistic) logic and propositional logic.
Constructive Logic  Type Theory  

proposition  type of its proofs  A proposition is true iff we have a proof of that proposition 
proof  an object of that type  
This does not work for more complicated type theorys and logics such as higher order logic.
Logic over a Type Theory
We treat logic as a metamathematics, that is a layer above the mathematics that allows us to apply axioms and rules to prove things about the mathematics.
Type Theory and Information
Informally we sometimes think about 'information' when discussing types. for instance, does some particular operation loose or gain information. The concept of information was precisely defined by Claude Shannon in 1948. It is linked to the concept of 'entropy' which quantifies the amount of uncertainty involved. However something involving probabilities doesn't seem to be what's required here.
So if we are trying to get an intuitive understanding of why the types/sets on the right are not isomorphic we need to see that the function shown can't be reversed. Intuitively we can see that this function 'looses information'. How can we make this more precise? 
More specifically, in type theory we have the 'computation rule' (beta reduction rule) and the 'Local completeness rule' (eta reduction rule)  see page here. We say that the 'beta reduction rule' ensures that information is not gained and the 'eta reduction rule' ensures that information is not lost.
One way to think about this is as a constructor as a producer of information (particle of information) and as an evaluator as a consumer (antiinformation) which collide and annihilate in computation and local completeness rules.
Comprehension
Any collection of elements of the same type may form an object of the next higher type.
z'x[xz <> Φ(x)]
Concepts related to Type