A "Skimmer" is a device that criminals use to modify ATMs and POS terminals at store checkout lanes. These are bad because they capture the account information from your card as well as any numbers that you enter on the key pad (e.g. your bank account PIN). They then pass that to the real POS device that they are installed on top of, while recording your information.
Since skimmers can be installed incredibly quickly, this attack is a real threat when you use your card to buy groceries or whatever.
Brian Krebs has an outstanding article on how to recognize that one of these has been installed. Highly, highly recommended to all Borepatch readers.
Related: Video of finding an ATM skimmer in the wild. Also recommended.