An illegal way to make money through artificial manipulation of a stock's price (by essentially creating and controlling a self-fulfilling prophecy). Pump-and-dump scammers pick a penny stock, one whose price is low but the company is stable (ie, not going to tank anytime soon) and slowly buy up lots of shares of the stock; this can be done either by a third party who picks on an innocent company, or by owners of the company itself. Once they've got a large number of shares, they hype the stock, usually through high-pressure telemarketing or stock-related websites. As people get suckered into the hype, the stock price rises; the scammers "pump" up the value. Once the stock is sufficiently high (usually a few days or weeks later), they "dump" the stock; the hapless investors are left holding the bag when the stock crashes back to its real value.
If executed right and with gullible investors, a pump-and-dump is difficult to tell from normal market fluctuations; after all, hype is what drives the markets in the first place. However, once the SEC knows where to look for a pump-and-dump, it's easy to spot because of the terribly unbalanced share ownership and the otherwise illogical spike in a stock's price.