Traditionally made with sheep's milk, Greek yogurt is a strained yogurt, which makes it thicker and creamier than regular yogurt. It also has more fat, protein, and calcium. A treat on its own, the higher fat content makes Greek yogurt less likely to curdle when heated, so it works well in soups, sauces, and other cooked dishes. (Greek-style yogurt is strained, but it's not necessarily from Greece. Some, especially domestic ones, may have added thickeners or stabilizers.)
If you can't find Greek yogurt, strain twice as much regular plain yogurt in a cheesecloth-lined colander until it reaches the consistency of sour cream, 2 to 3 hours.