Some axons are myelinated. Most of the myelinated axons are found in the peripheral nervous system, while axons within the CNS are unmyelinated.
Myelin is white, so the old distinction between white and gray matter becomes apparent. In the brain, where there are few myelinated axons, the neurons look gray, hence, gray matter. In the peripheral system, where most neurons are myelinated, they were called white matter.
Myelin serves two functions, one, it acts as insulation for the axon. That insulation is important in fine motor control. Just like rubber insulation covering copper electric wire prevents short circuiting to other nearby wires, myelin prevents neural impulses from doing likewise. Try to move your forefinger only; you should be able to. Newborns, however, lack fine motor control because their axons are largely unmyelinated at birth. Some degenerative diseases, like multiple sclerosis, cause destruction of myelin. The result is loss of control over movements, or ataxia.
Myelin's second function is to speed nerve conduction. It does so via the phenomenon of saltatory conduction, where the nerve impulse actually jumps (saltus is Latin for jump) from Schwann cell to Schwann cell. (Each little lump of myelin is a Schwann cell.)
It is interesting to compare rates of nerve conduction among species. In mammals, the group that we humans are in, rates vary from 30 to 120 meters/sec. Scientists used to think that nerve conduction was instantaneous. It was not until Helmholtz measured nerve conduction for the first time in the mid 1800s that it was realized that nerve conduction is actually quite slow, much slower than sound, for instance. For example, the fastest rates of conduction would be equivalent to a runner running the 100 meter dash in just under a second.
The conduction rates in insects are much slower. For example, the cockroach's ordinary neurons conduct in a range of 1.5 to 6 meters/sec. However, it has specialized giant neurons that conduct in a range of 9 to 12 meters/sec. Those neurons are afferents connected to small hairs, or cerci, near the tail. The cerci are responsive to air currents, and are the reason that we often miss the cockroach with our foot when we first attempt to squash it. The cerci detect the air displaced from the downward motion of our foot, and the cockroach reacts accordingly. Thus, we could improve our efficiency of cockroach squashing by slowly moving our feet into position, before beginning the swift downward motion.