Parking a domain essentially points a domain at the site onto which it is parked. So, if you have your site example1.com, and you've purchased another domain, example2.com, parking example2.com will cause example1.com to appear when someone requests example2.com.
This is useful if you have domains purchased that you're not prepared to develop yet. Parking them gives you the opportunity to monetize them, or at least to have them show up as something other than advertisements for your domain registrar (which is the common default setup when registering new domain names). Done carefully, parked domains can have a positive search engine optimization impact on your site too.