The yellow is +12v, the red is +5v.
Other wires potentially of interest:
Green:PS_ON, [Short to ground to turn the PSU ON]
Purple: +5v Standby [permanently on while AC Supply is live]
Grey: Power good signal from PSU
These apply only to ATX power supplies, and some manufacturer specific ones, [eg dell etc.] may be different, even in a dangerous way. However, the +5v=red and +12v=yellow seem to be universal.
(Edit: I found a good page of information here
The info may be slightly out of date as some of the modern PSUs don't supply the negative voltages which were only used for serial ports, and there may be extra connectors for more modern higher power motherboards)
[This message has been edited by chipmunk (edited 05-31-2005).]