Pearson's $r$: Measures the strength and direction of a purely LINEAR relationship. Fails completely on curved data!
Bounds $[-1, 1]$: $r=1$ is a perfect uphill straight line. $r=-1$ is a perfect downhill line. $r=0$ means absolutely no linear pattern (a shapeless cloud).
$R^2$ (Coefficient of Determination): Measures the % of variance in $y$ completely explained by the linear relationship with $x$. An $R^2$ of 0.81 means 81% of changes in $y$ are predictable by $x$.
The Shape of $r$: Play with the target $r$ slider. At $r = 0$, the cloud is a shapeless circle, meaning $X$ tells you nothing about $y$. At $r = 0.99$, it maps perfectly to a tight diagonal ribbon. Note how negative $r$ flips the slope downwards!