I keep hearing the term "blog". What the heck is it?

I personally don't know, but I had a quick look for you on Google and it defines the word blog.

Go to google.com.
Search - define: blog.

Blog is short for weblog. A weblog is a journal (or newsletter) that is frequently updated and intended for general public consumption. Blogs generally represent the personality of the author or the Web site.

Short for "web log." :) Kind of like an internet diary.

Here you go:
http://en.wikipedia.org/wiki/Blog

I think Thomas put it best - think of it as an internet diary. A blog is a website that you write "posts" to that the public can view at any time. Blogs also tend to have a number of handy features like the ability to comment on posts, searching for previous posts and RSS feeds (http://en.wikipedia.org/wiki/RSS_%28file_format%29) which allow you to subscribe to a blog (you get told when new posts are made)

And for an example, well I have a blog:

http://www.ltheobald.co.uk/

And here's some other blogs I look at occasionally to give you an idea what's possible:

http://www.jarkolicious.com
http://veerle.duoh.com
http://www.andybudd.com/

Finally, if you want to start up your own blog try:
http://www.wordpress.com
http://www.blogger.com

oh pay no attention to those pedestrian "weblog" answers!

its really derived from the elbonian dialect (southern provence), originally "bloginsteele" (umlaut over the o)... meaning "HEY LOOK AT ME!"... shortened to blog = "ME!"... which is what most blogs are about, the writer getting attention from adoring, random strangers. Or stalkers. It's a mix.

=)

OK not really, but since I had nothing real to add to the post, there it is.

Lol, well yes...

A blog is usually a diary on a forum, for you to post your thoughts.
Other people can view it, much like a diary as thomas said. Some new modern blogs have places for replies, (or winks as I have seen on one).

They're pretty cool, fun like an e-diary that evyerone can see.