A "drop set" is simply a light set that follows a heavier set.
For example let's say you're doing something on a machine, like Universal bench press. You finish your set with 200 lbs on the stack, then drop it to 100 for 10 more reps then for 60 with 10 more, etc. - to get an extra burn / intensity.
It is a good idea but shouldn't be overused as it is also a very easy way to overtrain.
Personally I very often try to rep out as much as possible on bench or squat with light weight (one plate) at the end of my workout.