It is the common American name of certain insects belonging to the grasshopper family Tettigoniidae which contains several thousands of species.
Also known as "long horned grasshoppers" and "Bush Crickets", of the Tettigoniids the term "katydid" is more generally applied to those species that exhibit particularly deep forwings, such as those of the genus Pterophylla (litterally "winged leaf").
The males have noise producing (stridulating) organs located on their front wings which create a sound supposedly like "katy did, katy didn't", hence the name.
Katydids are common in the Eastern United States.