The DHT22 is a basic, low-cost digital temperature and humidity sensor. It uses a capacitive humidity sensor and a thermistor to measure the surrounding air, and spits out a digital signal on the data pin (no analogue 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, so when using the library, sensor readings can be up to 2 seconds old.
Simply connect the first pin on the left to 3-5V power, the second pin to your data input pin and the right most pin to ground. 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!
Compared to the DHT11, this sensor is more precise, more accurate and works in a bigger range of temperature/humidity, but its larger and more expensive