A skimmer is a tiny device that thieves insert into the card reader. It captures the information off of your ATM card before passing it to the actually ATM hardware. A hidden video camera records your PIN. The thieves then make a new card and empty your bank account.
The biggest risk is at non-bank ATM machines:
My recommendation is to get your cash at your bank's ATM. If you want to be extra secure, use the ATM in their lobby - it is very difficult for someone to install a skimmer there because of the surveillance.