Traditionally, Yorkshire pudding is baked in a large tin and then cut appropriately, although individual round puddings (baked in bun trays) are increasingly prevalent.
The Yorkshire pudding is a stalwart of the British Sunday dinner, and in some cases is eaten as a separate course prior to the main meat dish. This custom could have arisen in poorer times, to provide a filling portion before the more expensive meat course.
It is also one of the two components of toad in the hole (the other component being sausage). In pub cuisine, Yorkshire puddings may be offered with a multitude of fillings, with the pudding acting as a bowl.
From the 1881 Household Cyclopedia:
This nice dish is usually baked under meat, and is thus made.
Beat 4 large spoonful of flour, 2 eggs, and a little salt for fifteen minutes, put to them 3 pints of milk, and mix them well together: then butter a dripping-pan, and set it under beef, mutton, or veal, while roasting. When it is brown, cut it into square pieces, and turn it over, and, when the under side is browned also, send it to the table on a dish.
A more modern recipe, to make 4 individual Yorkshire puddings:
Place a little of the dripping or oil into each division of the tin and place the tin in the oven to heat (usually the roast joint will still be in the oven), but if cooking separately heat the oven to 200 to 220 degrees Centigrade. Once the tin is hot, fill each division with the batter and return to the oven. Remove and serve when risen, firm and brown.
Note: If your egg is small use two eggs and less milk otherwise the pudding will not rise.