A Kippah is the Hebrew word for the small circle of cloth that many observant Jewish men wear on their head. This is often also known by the Yiddish terms, Kuppel and Yarmulke. There are many theories as to where the concept came from, stretching from a sign of the covenant with G-d, to a derivation of a priestly head covering. The truth is, we don't know. We know where most Jewish laws come from because we can read the Rabbinic arguments in the Talmud and the Mishnah. We cannot do that with a Kippah, because those arguments simply do not exist. The Kippah does not feature anywhere in the Torah, the Mishnah, the Talmud or the Mishneh Torah, and only appears for the first time in the Shulchan Aruch, which was written as recently as the 16th Century, and the Kitzer Shulchan Aruch which was written in the 19th Century.
I have asked many scholars and Rabbis where the tradition comes from, and have got a broad range of answers. The answer that most satisfies me is that the tradition comes from a passage of the Talmud which talks about the man who codified the Mishnah, Yehudah HaNassi, or Judah the Prince. A passage says about him (this is only a broad translation, it is not in any way accurate) that Yehudah HaNassi was a very pious man. In the next verse, it says that he never left the house without a head covering. This was later interpreted to mean that he was a very pious man THEREFORE he never left the house without a head covering, and so pious men must wear a head covering. It should be noted at this point, that he lived in one of the warmer parts of Israel, a place called Yavneh, which is often so hot that it really isn't a good idea to leave the house without a head covering.
It should also be noted that Jewish men ARE directly commanded to wear Tsitsiot, or tassels on the corners of their clothing, in all of the Jewish books. Then again, I know far more Jewish men who wear Kippot but not Tsitsiot than men who wear Tsitsiot but no Kippah.