Basically, it's a major video game event which occurs each year, when the big companies may reveal new video games and technology via press conferences. Click the link in the first post of my E3 2009 thread to learn a bit about it. It's over now though, so now we're discussing it, such as in PichuMaster12's thread where we're discussing what surprised us most during the conferences.
If you missed it, which I'm guessing you did, you can watch the archived videos
here if you have 5-6 hours to spare.