It seems like most of our names for colors come from our German roots (blue/blau, green/grün, red/rot, etc.). But yellow is gelb in German, amarillo in Spanish, jaune in French, and giallo in Italian. I suppose the Italian seems closest, but perhaps they all have something in common?
The word for the colour yellow comes from a germanic root as well.
Old English geolu, geolwe, from Proto-Germanic *gelwaz (cf. Old Saxon, Old High German gelo, Middle Dutch ghele, Dutch geel, Middle High German gel, German gelb, Old Norse gulr, Swedish gul "yellow"), from PIE *ghel- "yellow, green" (see Chloe).
Palatalization is a sound change that took place from Old English to Modern English. Here's a short list of words where this shift took place: day (German Tag), yarn (German Garn), way (German Weg), year (Old English gear), nail (German Nagel), yield (Old English geldan, Old High German geltan) and thirsty (German durstig). It also happened with another colour word: gray (Old English græg.)
It should be noted that in Modern German, the terminal g has become devoiced and Tag sounds more like tuck in English.
The word is similar in Latin languages because they all share the same Proto-Indo-European root, *ghel-. It's interesting that this same root which had the meaning "to shine" gave us not only the colour yellow, but also gold, gild, gall (i.e. yellow-coloured bile), and a range of sparkly gl- words: glitter, gleam, glow, etc.
I thought to supplement the other excellent answers with more information about the PIE root *ghel-.
This website lists more derivatives, but references p 29, The American Heritage Dictionary of Indo-European Roots by Calvert Watkins, on which the entry ghel-2 lists many more derivatives an so is too long to reproduce here; so I quote only the underlying semantic field:
to shine ine with derivatives referring to colors, bnght materials. gold (probably "yellow metal"). and bile or gall. (Oldest form *g
[There is a diacritic atop g, but I cannot see which diacritic it is from Google Books.]hel-.)