Search Engine Optimisation is a term that is used when you have your website optimised for the search engines.
Simply it is a range of SEO techniques used to make your website appear higher in the Search Engine Results Pages (SERPS) when a customer is looking for your product, service or information.
Ideally we would all like to be on Page 1 for Google, Yahoo, Bing, MSN searches.
Without SEO you are unlikely to be found in the SERPS or not anywhere that someone would look.
Statistically most searchers only read the first 3-6 pages that are returned.
By using SEO on your site you are telling the Search Engines clearly what your business, service or product provides, by using keywords and various other SEO techniques.