Vocaloid is a voice synthesizer program that you must buy but it sounds really good :D There are English Vocaloids and Japanese Vocaloids. One of the most popular ones would be Hatsune Miku. There are others like Rin and Len Kagamine, Luke Megurine, Gachapoid, Piko Utatane, Gumi, KAITO, MEIKO etc.
UTAU is just like Vocaloid except its free and you can make your own original character. You record sounds and put them into a folder and open it into UTAU and it plays but tends to sounds more robotic than Vocaloid. But then again...free. A popular Utau would be Teto Kasane.