Any story element that is introduced, but doesn't come into play until later. Anton Chekhov had a number of thoughts on the matter, but he once wrote "If you say in the first chapter that there is a rifle hanging on the wall, in the second or third chapter it absolutely must go off. If it's not going to be fired, it shouldn't be hanging there."
Experienced members of the audience eventually learn to sniff out these little details. This does not always predict that they will be able to tell what the Gun is, or what it would be used for. For example, the Harry Potter series is known among its fanbase for having a large amount of these Guns, such that Rowling apologized for having a random character share the same maiden name as Harry's mother. In a more standard series it would likely be written off as a coincidence, but several theories were spun from it before the word of God, so to speak, came down from on high. The series ended in July 2007, and as of early 2011 there are still several groups in the fandom bitterly complaining that their theories did not pan out.
The concept is often used as an example of the Principle of Conservation of Detail; writers are generally advised to only put in as much detail as is necessary to tell the story, lest they become bogged down in useless details. If one describes a church service, for example, no one needs to know that little Wilhelmina in the ninth pew on the left has scuffed shoes. Unless, of course, this is necessary for characterization, or the one weakness of the climactic monster happens to be scuffed shoes worn by little girls named Wilhelmina.
See also McGuffin.