How do I prompt for Yes/No/Cancel input in a Linux shell script?

I want to pause input in a shell script, and prompt the user for choices.
The standard Yes, No, or Cancel type question.
How do I accomplish this in a typical bash prompt?

A widely available method to get user input at a shell prompt is the read command. Here is a demonstration:

while true; do
    read -p "Do you wish to install this program? " yn
    case $yn in
        [Yy]* ) make install; break;;
        [Nn]* ) exit;;
        * ) echo "Please answer yes or no.";;
    esac
done

Another method, pointed out by Steven Huwig, is Bash's select command. Here is the same example using select:

echo "Do you wish to install this program?"
select yn in "Yes" "No"; do
    case $yn in
        Yes ) make install; break;;
        No ) exit;;
    esac
done

With select you don't need to sanitize the input – it displays the available choices, and you type a number corresponding to your choice. It also loops automatically, so there's no need for a while true loop to retry if they give invalid input. If you want to allow more flexible input (accepting the words of the options, rather than just their number), you can alter it like this:

echo "Do you wish to install this program?"
select strictreply in "Yes" "No"; do
    relaxedreply=${strictreply:-$REPLY}
    case $relaxedreply in
        Yes | yes | y ) make install; break;;
        No  | no  | n ) exit;;
    esac
done

Also, Léa Gris demonstrated a way to make the request language agnostic in her answer. Adapting my first example to better serve multiple languages might look like this:

set -- $(locale LC_MESSAGES)
yesexpr="$1"; noexpr="$2"; yesword="$3"; noword="$4"

while true; do
    read -p "Install (${yesword} / ${noword})? " yn
    if [[ "$yn" =~ $yesexpr ]]; then make install; exit; fi
    if [[ "$yn" =~ $noexpr ]]; then exit; fi
    echo "Answer ${yesword} / ${noword}."
done

Obviously other communication strings remain untranslated here (Install, Answer) which would need to be addressed in a more fully completed translation, but even a partial translation would be helpful in many cases.

Finally, please check out the excellent answer by F. Hauri.