A long time ago, I asked myself that question too....so it can't be that stupid of a question!
A sump is usally a smaller aquarium under main tank that is connected to the main tank via hoses that allow water from main tank to flow into sump, and then from sump back into main tank. The sump can be setup to fulfil just about any purpose, and can even be rigged with multiple sumps. It essentially adds water volume and filtration to your system and is a place to setup equiptment and filtration that you might not want to showing in your main tank. Such as: skimmer, heater, media, etc.
Here is a link to our own Mr. Salty's sump, which is quite elaborate. It should give you a pretty good idea about what can be done with a sump.
Salty's Sump