Kinetic energy, measured by the orbital velocity of the orbiting body, and potential energy, a function of the distance from the orbited body. An object in an orbit about another will always have a constant energy, divided into both of these. So as the object gets further from the primary, its potential energy increases while its kinetic decreases (it slows down). And as it approaches the sun (losing PE) it gains KE (it speeds up). But at every point of its orbit, the sum of the two remains the same. Potential energy is a scalar quantity, but kinetic energy is a vector.

To move into a higher orbit, you have to add orbital velocity by accelerating in the direction of motion. To drop to a lower orbit you need to accelerate opposite the orbital motion. I.e., slowing down sends you sunward, speeding up sends you away from the sun. Either one requires an input of energy from an external source (either a rocket motor or another gravitational body).

Another way of thinking about it is that staying in any orbit requires a certain amount of energy. If you want to go down the gravity well you have to bleed some of it off. Of course, this only holds true of orbiting bodies. If you were to miraculously place an object, stationary, anywhere in the gravity well, it would just fall in.

Everything in the solar system is in some kind of orbit around the sun. It is either an elliptical orbit, a parabolic orbit (its just passing through) or it already fell in a long time ago. Even a spacecraft which has exceeded earth escape velocity and is therefore no longer in orbit around Earth is still in orbit around the sun.