heads up display basically, anything overlaid on the screen that the user interacts with or is shown information by, its the visual part of the overall interface
There are some good documentation on the VGUI system over at the Source SDK Wiki. It's a little vague in terms of examples, but armed with that and the practical applications in the source code itself, you should be able to figure it out.
I'm just stuck on managing my messages to the HUD from the server. It works, just in fantastically unpredictable ways.