Quick answer
Ё ё = yo, as in “yolk”. It is always stressed, which makes it the only letter that tells you where the stress is.
yo
How to say it
The “yo” of “yolk”. After a consonant the y disappears and the consonant softens: тётя is “tyótya”.
Why it goes missing
Russian print routinely writes е instead of ё: you will see все where всё is meant, еще for ещё. Natives know which is which from context; learners lose the stress information. Children’s books, dictionaries and this site keep the dots — ordinary newspapers do not.
Always stressed, always useful
Because ё is never unstressed, finding one in a word tells you the stress immediately: тёплый, чёрный, идёт, ещё. It is the one piece of free stress information Russian spelling gives you — which is precisely why it is worth noting when it appears.
Typical mistakes
Reading ё as е
“yo”, and stressed
They are different letters with different sounds.
Assuming ё can be unstressed
Ё always carries the stress
There are no unstressed ё in Russian.
Check yourself
Which word contains Ё?