Decay is the second stage of the ADSR envelope, it is used to describe how the sound will react after the first strike of the key (known as the attack). Like attack, decay sets the duration of time for the sound to roll off from its maximum volume, dropping to sustain, the third stage of ADSR.
The decay and attack stages are considered to be the most important parts of a sounds character. You’ll usually find that in modern synthesis the attack and decay parts are from a real sample of the instrument, whereas the sustain and release stages are synthetically produced.
The decay stage can be set anywhere from long to near enough non-existent. If the decay was set to zero then you would hear the attack stage rise up to the maximum volume, then you would hear a sudden drop in volume to where the sustain level is set to.
Acoustic instruments tend to have a longer decay stage than the initial attack stage. A woodblock has both a fast attack and decay stage. Whereas, an electric organ has no decay at all, it hits maximum volume and stays there (at the sustain level) until you release the key.