The mythical pitch supposedly jumps 3+ feet to the side and drop like a curve. However, contrary to popular opinion, the "gyroball's" mechanics actually cause it not to move at all.
The general idea is that there are two types of spin on the ball, the most important being "bullet-spin." Think of a football thrown with a pretty spiral and you have the right idea.
Though there are several reports on the gyroball out there, I believe this one. It just makes sense to me, without any B.S. For the same reason that quarterbacks throw a football with a spiral, "bullet-spin" should reduce air resistance and make the ball fly better. The article that I linked to says that with reduced air resistance the ball will slow down less on its way to the plate and look like it explodes out of the pitcher's hand.
Is this no-movement "gyroball" worth throwing? If it looks like a slider, which is characterized by a nasty bite, but flies straight as an arrow it's going to freeze a lot of batters. I like to think of it as a reverse change-up.
If you want an alternate take, you can read ESPN's E-Ticket feature, Chasing the Demon Sphere. The feature maintains that the gyroball should move like a breaking ball, but in reality it doesn't move as much as it's rumored to. I think it's a poor example of journalism, though I don't typically bash ESPN. Still, the linked tid-bits are interesting.