To connect to Apple iCloud you will need to generate an app-specific password and use that instead of your regular one. You will need to enable multi-factor authentication for your account if you haven't done so already.
Apple's help article on how to do that can be found here: https://support.apple.com/HT204397
Update June 2017
As of June 15 2017, Apple required that all applications use app-specific passwords when connecting to iCloud services. Therefore generating an app-specific password became mandatory when previously your regular password may have worked.