taylorRichie,
Unless I'm mistaken (it happens) the Universal Joint is actually comprised of the plus shaped piece (forget what the real name of that piece is), the yoke (actually 2) and the spline. Typically tho, you only need to replace the plus shaped piece - there are roller bearings inside the end caps & those are usually the only thing that goes bad.
The good news is that the parts are usually cheap. The bad news is that it can be a real pain to replace them. If you do it yourself, make sure you put them back together EXACTLY the same as they came out. If you get the phase wrong, you'll get UBER vibration.
Did a little research:
The piece shaped like a plus sign is called 'the cross'
Also: "Among the most common causes of U-joint and slip failure is the lack of proper lubrication. Properly sized U-joints that are adequately lubricated at recommended intervals will normally meet or exceed operational requirements. Proper lubrication flushes of U-joints thus remove contaminants from the bearing caps."