In Rock climbing: A general term referring to anything you place or use in the rock that, in the event of a fall, will serve to stop you from hitting the ground.

This includes everything from: Slings tied through holes in the rock, and around tree trunks or roots;
Nuts and Hexes, asymmetrically shaped pieces of metal with a steel cord that you place in a choke point in a crack;
Cams, similar to nuts in that they are placed in cracks, however these use a mechanical action to expand to the size needed, and don't necessarily require a choke point;
Pitons, Small metal wedges that are hammered into a crack, Not especialy common anymore as their use tends to damage a rock;
And finally, Bolts, NEVER placed by anyone but the first ascender, as they are a PERMANANT fixture and change to the rock.

What all these have in common is that they are attached to the rope via a carabiner, or two carabiners and a sling, called a Runner, to the rope. In the event of a fall, The climber falls twice the distance to the last piece of protection that was clipped onto (If they are five feet above a piece of pro, they fall five feet to be level with it, then there is five feet of slack in the rope, so they continue to fall another five feet. This, of course, ignores rope stretch, which is actually quite considerable).

In the event that the last piece of pro the climber built is insufficient to hold the force of the fall, it will pop out (a bad thing), and, hopefully, they will be caught by the NEXT piece down that was placed. However, this piece has to deal with the forces of an even greater fall. If the entire line of protection fails in a fall, this is called unzipping (a very bad thing).

Once the leader has finished their ascent, or this pitch of their ascent, the second, who has been on belay all this time, begins climbing, with the leader as the belay person, and as they climb, they clean all the pro off the face, that is, they remove any slings, nuts, hexes, or cams, for use on the next pitch, thus, hopefully, allowing a climb to occur without any damage to the rock face at all.