What is entanglement?
Briefly, entanglement is a type of dependence between subsystems of a composite system.
Quantum mechanics can be viewed as a variant or extension of probability theory. In this view, state vectors are analogous to probability distributions, superpositions correspond to distributions that are non-deterministic (i.e. that do not assign $1$ to a single outcome), composite states correspond to joint distributions, the partial trace corresponds to marginalization and entanglement corresponds to correlation and dependence. States that lack entanglement, i.e. the product states correspond to independent distributions.
The similarity extends to some of the metrics used to quantify the amount of entanglement. For example, classical information theory measures the amount of dependence between random variables using quantities such as entropy and mutual information. Quantum entanglement is measured using analogous quantities of von Neumann entropy and quantum mutual information.
Note that the above is not meant to imply that entanglement is classical correlation. However, probabilistic dependence is a familiar, classical concept that is most closely analogous to entanglement. The differences between classical probabilistic dependence and quantum entanglement are studied by quantum information theory.
How systems become entangled?
Entanglement arises and disappears as a result of interaction. Therefore, it can be thought of as quantum correlations that exist between two systems due to their past interactions.
How to imagine entanglement?
Part of the difficulty of imagining entanglement is that its closest classical analog - dependence between probability distributions - is also nontrivial to imagine. However, there are many effective ways to think about dependence of classical random variables. For example, one can represent it using tree diagrams. Such tools can be repurposed to represent quantum states by replacing probabilities with amplitudes. Visualization of amplitudes is admittedly harder than of probabilities, but it can be done using techniques such as domain coloring from complex analysis.
Any technique used to imagine or represent a superposition can be used to imagine or represent entanglement. The key is to use composite states in superposition. This is related to the fact that there is no mention of or provision for entanglement in the postulates of quantum mechanics. Instead, entanglement arises as a byproduct of superpositions of composite states.
What happens when the spins of two electrons are entangled?
The spins interact and as a result the joint state picks up the type of quantum correlations described above. For example, an interaction might make the spins parallel without making them point in any particular direction.
In a sense, the interaction determines the composite state without fixing the states of the subsystems. This possibility has a more precise formulation in terms of von Neumann entropy which in this case is zero for the composite state and non-zero for the subsystems. One way this is often expressed is that in quantum mechanics it is possible to know everything there is to know about a composite system without knowing anything about the parts.
Consequently, when one of the spins is measured, a measurement result associated with the other can be inferred.
A little bit of math beyond this point
The analogy above becomes a very close visual resemblance if we allow a little bit of math back into the picture. Specifically, when we consider probability density functions (PDFs) and how they capture lack or presence of dependence we see an analogy to the way expressions for state vectors capture lack or presence of entanglement. In classical probability, a joint PDF of two independent variables is a product of individual PDFs
$$
p(x, y) = p(x) p(y)
$$
and every PDF which cannot be written this way incorporates some dependence between the variables. Similarly, a state vector of unentangled systems is a product of individual state vectors
$$
|\psi_{x,y}\rangle = |\psi_{x}\rangle|\psi_{y}\rangle
$$
and every state which cannot be written this way incorporates some entanglement between the subsystems.