At the word level, 焼き means "bake(d)" or "grill(ed)". It works slightly differently depending on whether it's used as a prefix and a suffix.
When 焼き is used as a prefix, it just literally means "grilled/baked ～".
焼き魚 grilled fish
焼きトウモロコシ grilled corn
焼きおにぎり baked onigiri
But when 焼き is used as a suffix, it forms a specific (...
The person above already gave you a good answer but to add on-
The words that you gave examples of pretty much mean:
"お好み焼き”：cooked preference-since you can put things to your preference in okonomiyaki
'yaki' doesn't always have to be related to food, for example, '焼き物’ is pottery (yakimono) roughly translated to "baked ...