Entanglement of systems is, as others pointed out, a concept that follows from the principles of quantum theory, and the fact that we try to slice up the world in "sub systems". It is impossible to give correctly a "day-by-day" (classical) example or analogy of what entanglement is about, as the concept is completely absent in any classical theory.
A very fundamental principle (I consider it *the* fundamental principle) of quantum theory, which includes all its weirdness and is at the same time the basis for its usual mathematical formulation, is: the superposition principle. It is kind of unheard of, but here it goes:
If a system can be in an observable state A, and it can be in an observable state B, then it can also be in any complex projective superposition of these states, and these physical states are physically distinguishable from A and B themselves.
This is the basis for the Hilbert space formulation: to every physical state corresponds a vector in Hilbert (projective) hilbert space (the projective is there because vectors which only differ by a multiplicative complex number are considered to describe the same physical state), and to a specific observation correspond only a small subset of these states, which form an orthogonal basis of the Hilbert space.
The application to a simple system, such as a point particle in Euclidean space, is rather straight-forward. A point particle in Euclidean space can be observed to be at a point p1 (coordinates x1,y1,z1) or p2 (coordinates x2,y2,z2) or p3 or... every possible point in Euclidean space. So there are (orthogonal) basis states corresponding to each one of these "position states" which are written in Dirac notation: |p1>, |p2>, ... |p3> ...
But, using the superposition principle, *all thinkable complex combinations* of all these states are also (distinct) physical states:
c1 |p1> + c2 |p2> + c3 |p3> +...
As such, starting from the (observable) basis states, the entire Hilbert space is spanned, and filled with distinct physical states. A simple way to write such a specific state is by giving a complex number ci to each possible position state |pi> or, giving a complex number to each point in space. But, giving a complex number to each point in space is nothing else but defining a COMPLEX FUNCTION over space, the so-called "wave function" of the state.
Fine. What now with two point particles (a red and a blue one) ?
Well, the observable states are now, for instance, the TWO positions of the two particles. We take the convention that we now write first the red position, and next, the blue position. So, COUPLES of points are now "observable states". We write them |p1,q1>. We also have, |p1,q2> and |p2,q1> etc... To each COUPLE OF POINTS corresponds now an observable (basis) state. We apply again, the superposition principle, and we now find our most general state:
c11 |p1,q1> + c12 |p1,q2> + c21 |p2,q1> + ...
We hence span the entire Hilbert space of states, which is now the HILBERT SPACE OF A 2-PARTICLE SYSTEM.
Again, we can characterise each state with a complex number for each COUPLE OF POINTS. That's nothing else but the "wave function" psi(p,q).
And here comes the crux:
with most psi(p,q) does NOT correspond a single psi(p) and a single psi(q). In other words, MOST "two-point-particle states" are NOT the juxtaposition of a state of the first particle and the state of the second particle. It is only in extremely special cases, that a general complex function psi(p,q) = f(p) g(q). Most of the time, this is not the case.
This is, as shown, a result of the superposition principle (which is at the basis of the entire framework of quantum theory), and has no equivalent in classical physics. Indeed, a 3-particle state in classical physics would be something like (q1,p1,q2,p2,q3,p3) - an element of the phase space of 3 particles, which is an 18-dimensional manifold. Clearly, to such a state corresponds a specific state of the first particle (namely, q1,p1), a specific state of the second particle (namely q2,p2) and a specific state of the third particle (q3,p3).
The state space of a "multi-system" in classical physics is simply the set product of the state spaces of the subsystems. To each element of the multi-system corresponds a "tuple of states" for each of the sub systems.
Not so in quantum theory. Most of the states of a "multi-system" are not a tuple of states of the subsystems, and this comes about because of the superposition principle.
In the case that a quantum state of a multi-system is NOT one of those very special states which are "factorisable" (psi(p,q) = f(p) g(q)), then we say that the quantum state is an ENTANGLED state of the subsystems.