A sump can contain a filter or filter media, but more often a sump just refers to a large container - either a glass tank or plastic rubbermaid type container, that sits under your main display tank.
Sumps are great for large tanks such as your 125, although they can be used on most any size tank. The size of the sump can be about anything you want - like tanks - bigger is normally better. There are some considerations to be aware of when selecting the right size.
In the sump, you can place much of the equipment that you would normally have in your display tank such as your heater and/or protein skimmer. Additionally, many folks will use the sump as a place to perform water changes, dose chemical additives, place activated carbon or other chemical, mechancial or biofiltration media.
A sump also adds additional water capacity to your system, and portions of it can be used as a refugium.
With the use of an internal or external overflow, tank water drops down a hose or pipe to the sump. The sump will normally operate at a water level of your choosing.
Water in the sump is pumped back up to the tank via a "return" pump, where it adds a great deal of circulation to your display tank. It's a closed loop circle of water flowing from tank to sump and back to tank.
I would strongly encourage you to look into setting up a sump for your 125. Lot's of advantages IMO. They are easy to DIY.
Do a search here and you will find tons of good information.
If you have questions - don't hesitate to ask.