Applejack is a liquor made from hard cider. There are actually two established ways of making the stuff. The less labor intensive (and more modern and scalable) way of doing so is to simply distill the alcohol from fermented apple cider. This produces a smooth drink closely related to brandy.
Then there is the back woods method (which I prefer). What you do is take your fermented cider and freeze it. When ice forms, you remove the ice. The alcohol has a much lower freezing point than water so by removing the ice you are concentrating the alcohol. Repeat this process until no more ice will form, and then you're done. The second method produces a slightly less alcoholic liquor with a serious bite to it, resembling apple moonshine.
The difference in flavor has to do with what you leave in and what you take out. With both methods you remove most of the remaining cider solids, and a lot of water. With the freezing method you keep some sugars and leftover yeast by-products left over from fermentation that wouldn't evaporate in a still.
In either case, it's best to age it a while before you drink it for a more mellow and refined flavor.