There are several Bandhas (locks) in our bodies, in this post I will focus on 3 major ones.

Although we have one main diaphragm for breathing, the thoracic, we have 2 more and they are located in the throat (vocal diaphragm) and pelvis (pelvic diaphragm).
Before we go into what is exactly a Bandha and how we use it, there are 2 terms that are related to Bandhas and Yoga and they are Prana and Apana.

Prana is the force of life in Sanskrit, it refers to everything that nourishes a living thing, and it also refers to the action that brings the nourishment in (as breathing and swallowing).  Living systems require balance of forces, which means there is also a force that eliminate the nourishment and helps it get out and away from the body, this force called Apana. Apana refers to waste that is being eliminated and the action of elimination.

 When we say lock, we are talking about activating the muscles in the specific area, this movement of lifting the muscles (very internal) and engage them creates a “lock” inside our body that can “hold” the energy (prana or apana) it can shift and move energy.
Activating the Bandhas prevent injuries in the joints.

For example, when we engage the intrinsic muscles of the pelvic floor; the deep muscles that run from our pubic joints to the coccycx and the superficial layers of muscles that run side to side in our pelvis – we create a lock and we shift apana upward. This action stabilize the abdomen and the core and this lock is called “Mula Bandha”. 
This allows your energy to flow up, not down and out. If your energy is forced to flow up, and stay inside you, for that matter, it will grow exponentially, leaving you with that amazing feeling of 'floating'. It gives your limbs more strength, as it is making you lighter because of right distribution of weight, that’s why this lock is especially good for arm balance postures, but truly this lock should be held during all the yoga class. 

 “Uddiyana bandha” is the thoracic lock. It refers to the diaphragm, stomach and abdominal organs. When we engage these muscles at the end of exhalation, we are creating a lock that lift up and “fly” energy upward. The base of the rib cage also go upward.
Think about drawing your navel in and up, like a zipper. This lock is especially good for inversions. 
This lock also helps release stagnated energy (stale air) that remains in the lung sacs. 

“Jalandhara Bandha” is the throat lock. It refers to the muscles at the front of the neck. The action is drawing the chin in toward the sternum, stimulating the thyroid.
This lock is especially good for supported shoulder stand and half bridge postures, It is more common used in pranayama (breathing practice) then in yoga class.
This lock is helping shifting energy upward (continuing the 2 mentioned above), massaging the thyroid balances the regulation of hormones responsible for efficient metabolism (growth and maturation).
Engaging Jalandhara Bandha is also an instant trigger for mental relaxation as well as stress and anger relief.

After all the explanation and words in Sanskrit, I hope this is a bit clear and contributing to you. Don’t forget to be aware of all the above in your next practice :)