This article is from the Photographic Lenses FAQ, by David Jacobson with numerous contributions by others.
It is a feature on higher quality SLR cameras that allows you to stop down the lens while looking though the viewfinder. Ostensibly it allows you to "preview" the depth of field. Of course, since this stops down the aperture, the image also gets dimmer.
Most people find it difficult to judge from a dim viewfinder image whether some part of the image will appear sharp in a slide or print. However, in many cases photographers will select a large aperture to deliberately blur background or foreground objects. DOF preview lets you see just what the effect will be.