The invention is an improved yo-yo that features unique multi-piece sides. Each side has a removable disk that functions to affect the yo-yo's responsiveness via one or more tether engagement structures that can be contacted by the yo-yo's tether. When the removable disk is made of a resilient material, the disk can be compressed to change the yo-yo's responsiveness. Each removable disk may also form the associated side's rim and thereby functions to substantially define the side's shape. By replacing one set of removable disks with another, a user can quickly and easily change the yo-yo's shape and/or rim material and/or responsiveness.