A comb filter is a device which acts to cut off a group of frequencies within a range of frequencies. It could be thought of as several notch filters acting together. This filter causes a frequency response curve that resembles a comb--the attenuated frequencies are spaced at regular intervals. Basically, the comb filter is created by attenuating a feedback loop.
A comb filter applied to an audio signal can cause a sort of hollow or ringing sound. Modulating a comb filter causes a flanging effect. Comb filters were used in the early days of stereophonics to give mono recordings a "wider" sound, thus faking stereo separation.
Apparently, comb filters are also used in color video to seperate luminance (Y) signals from chrominance (C) signals. But don't ask me about that. I'm already in over my head goin' on about the use of comb filters in audio. Honestly, I only mention video so I could use the word chrominance.