How it works
A Jellyfish use the same principle as the X-Wing and Swordfish, but applies to 4 rows and 4 columns.
If all candidates for a digit in 4 rows are contained in the same 4 columns, any candidates in those columns that are not on those 4 rows can be eliminated.

As it is rare that all rows contain candidates in all 4 columns, a Jellyfish can be difficult to spot. Each row can contain candidates in between 2 and 4 of the columns.
This shows a minimal Jellyfish setup, with only 2 candidates per row.
As the Jellyfish must have candidates in 4 rows, and 4 columns there will always be 2 rows in the same chute (section of 3 rows).
But there is a special case when the Jellyfish only occupy 2 chutes as shown below.

Here there are 2 defining rows in the first chute, and 2 in the second. Together they will create a set of locked candidates in the chute that contain 2 of the columns, and all candidates in the same section within those chutes that are not in the rows can be removed.
Examples
As with other techniques, the Jellyfish can exist both with the rows as defining lines, or the columns, as it would be like rotating the entire puzzle 90 degrees. The following example have a Jellyfish in the columns.

Here we have a Jellyfish for the digit 1 made up of the cells r3c2, r4c2, r4c3, r8c3, r8c8, r6c8, and r6c6. The columns are 2, 3, 6, and 8, and the rows are 3, 4, 6, and 8.
This allows us to remove the candidates that exists in the rows, but not in the columns, which in this case are the cells r3c7, r8c1, and r8c5.