Macro Algae is seaweed looking stuff. The reason it's called Macro algae is because it's bigger (put very simply) and micro algae is the stuff you scrub off your tank glass.
The most commonly used macro algae is Chaetomorpha (or Chaeto to hobbyists, sounds like "kaytoe") and it does a number of great things for your tank. Debatably the main reason you put chaeto in your sump is because it reduces the nitrates so you don't have to change your water as often.
The only down side to chaeto is that you need to figure out how to give it light - since it's a plant it needs light - and you have to figure out a way to give light to your sump if you're going to add it. It's not hard though. By the way, if you add chaeto, sand, and live rock in a chamber of your sump, it's generally called a "refugium."
Another macro algae is Caulerpa (kuh-lerr-puh). But it's the more complicated of the two because it tends to "go sexual" meaning it releases crap into your water because it wants to reproduce, and can provide much trouble for you. The best way to counter caulerpa algae going sexual is by leaving the refugium light on 24/7.
There's also been different uses as to how much the refugium light should be on. There are three main methods:
1. Keep the light on 24/7 - This means that the chaeto is always growing and reducing your nitrates... the only bad thing about it is the growth will need to be regularly cut off because it could overcrowd your refugium and cause problems with water flow and a bunch of other reasons I can't think of. The good thing is if you do it this way, you'll grow a lot of chaeto really fast, and you could sell that extra chaeto on here... people buy and sell chaeto all the time.
2. Have it go on/off whenever your tank lights are on/off - This one is more commonly used, just because it seems to make the most sense. You don't have a whole lot of over growth and the chaeto does not need to be cut as often.
3. Refugium lights and Tank lights work opposite of each other (meaning that when the tank lights are ON the refugium lights are OFF and when the tank lights are OFF the refugium lights are ON) - This is one that i personally use. It allows for the corals to "trade" the light time with the chaeto. Not sure exactly how this works, but I've been told it's the best method.