As 'Someone Electro' says, it's a feature only available on some PIC's, basically it allows you to program the PIC without a programmer - usually via a serial port connection from a PC.
However, you still require a programmer to get the bootloader code in the PIC in the first place!.
If your design already includes a serial port (as they often do), this is a simple way to give ICSP capability - with no restrictions or limitations on your hardware design (as with normal ICSP).
I've played with a bootloader on the 16F877/876, it's very easy to use.