It's often used to describe something that gets your adrenaline pumping or makes you feel exhilarated.
Here are some examples of how it can be used:
* Mae'r ffilm yn gyfrous iawn. (The movie is very exciting.)
* Roedd y gêm yn gyfrous iawn. (The game was very thrilling.)
* Rwy'n cael fy nharo gan y profiad gyfrous hwn. (I am being struck by this exciting experience.)
If you want to express something is not exciting, you can use the word diflas, which means boring.