hockey
In French, the word 'Hockey' remains the same as in English. It is used in the same context, referring to the popular sport played on ice, field or street.
I like to play hockey
This is a simple sentence expressing a personal liking for the sport of hockey. In French, 'jouer au' is used to indicate playing a sport.
Ice hockey is popular in Canada
This sentence is using the descriptive 'est' to link the subject 'Le hockey sur glace' (Ice hockey) with the adjective 'populaire' (popular). 'Au Canada' tells us the location where it's popular.
My favourite hockey team is the Montreal Canadiens
In this sentence, the speaker is expressing a preference for a specific hockey team. Note that the team name is kept in its original language even when speaking in French.