A dye lot is a batch of yarn fibre that was dyed in one batch of the same dye.
Dye lots are given their own unique IDs, which are reproduced on the yarn's label or tag. If you are knitting or crocheting a project that requires more than one ball or skein of yarn, it is important to make sure all of the yarn comes from the same dye lot. Different batches of the same dye can turn out to be remarkably different once they've been applied to the yarn. Two skeins of the same shade from different dye lots may look identical in the store, but the difference will be noticeable when they have been knitted into a single garment.
The listed dye lot is usually a number of a several digits.
A company that sells yarn on a dyed-to-order basis will probably not list a dye lot on its packaging, as the entire point is that all the yarn one is purchasing was dyed at the same time.
I have never tempted fate and made a single item with yarn from more than one dye lot, primarily because my mother has instilled in me a fear of doing so. I originally thought the idea was ridiculous — the yarn all looked the same on the shelf — but I was assured I'd be able to notice once the garment was finished. There are times when you could probably get away with it (in a scarf, maybe) but do you really want to take the risk of having your sweater's sleeves turn out to be two different colours? I didn't think so. (Though maybe you're into that.)
Now, say you've bought the prescribed amount of yarn specified in a pattern and have made sure that all of the skeins are from the same dye lot. Good for you! But as you approach the end of the project, you realize that the yarn you bought won't be sufficient. You head back to your local yarn store but discover that there aren't any skeins from that dye lot yet. What do you do? What do you do?
Well, you can talk to the store's staff and see whether they can order you that yarn in that dye lot. They just might be able to. You can also hit up online resources such as Ravelry, where crafters can enter their stashes of yarn into a personal database and, if they're so inclined, specify the colorway and dye lots they have. Sometimes people note that they're willing to sell or trade their yarn. Finally, you can live life on the edge, pick up a skein in another dye lot and hope for the best.