DMX is a serial protocol, digital, unidirectional, and with no error checking. It’s reliable, but is subject to interference which makes it unsuitable for hazardous effects such as pyrotechnics (a stray signal or electrical interference could accidently set off a flame tower, for instance). Like most digital cables, the signal quality degrades over long distances, and repeaters can be used to increase the distance, or split the signal with the equivalent of ethernet switches.

The cable itself consists of two shielded twisted pairs (though only one is pair is used). Technically, 5-pin DMX cabling should be used, but some manufacturers have implemented 3-pin versions which can run over traditional microphone XLR cabling.
Devices are daisy chained together in a single cable and terminated with a special plug; a single DMX master is used to control, while every other device is known as a slave.
At a data level, the DMX512 controllers sends asyncronous data at 250 kbaud; 1 start bit, 8 data bits, 2 stop bits and no parity checking. Notice that although the data part is limited to 8-bit, some devices will combine two channels, giving a multiplexed 16-bit data packet if needed.
DMX512 is so called because it allows up to 512 channels of control. Each device on the DMX “universe” must have a start address set on the device itself; most devices will take up more than one channel. Some of the more complicated lights might have up 12 different channels; a combination of which controls various effects. Identical devices can be set with the same address; these will both react to those instructions.
Of course, this only works if the devices are identical, as each device will use its control channels to do something different. Because of this, your control system needs a “profile” for each device – kind of a like a device driver – which tells it what the device is capable of and what signals to send for each effect. Basically, DMX is the glue that holds everything together and lets it all talk to each other.