Pieces of data on your hard drive that usually used to be files. However, something went wrong spontaneously, or something went wrong when deleting the file associated with the file fragment, and it hung on, not becoming "random" binary like other deleted files.
Often found by Scan Disk, they have little to no use, except under rare circumstances. If Scan Disk finds one, you are given the option to save it, or get rid of it once and for all.