A reticle is the pattern (which can vary) placed in the eyepiece of the scope which establishes the gun's position on the target. Reticles can be made from fine wire or etched into the glass itself. Reticles come in a wide variety of variations that range from simple traditional style crosshairs all the way to illuminated mil dots (short for military dot). Here are some examples of different reticles:
These represent a small sample of reticles that are currently available today. Some rifle scope manufacturers produce their own specialized reticles. The reticle in the image above marked as "Firefly®" is a specialized illuminated model produced by Bushnell®.
In the grand scheme of things reticles probably won't play a huge role in your scope selection decision, but it can be important. Make sure you choose a reticle that works your specific type of shooting. For long range shooting or hunting (+400 yards) or long range competitive shooting, consider a reticle without a dot.
At longer ranges with small targets, the dot can actually cover up the target. A good friend of mine hunts prarie dogs at long range and purchased a very expensive scope with a mil-dot reticle. At long ranges, he found that the reticle dot was actually larger than the prairie dogs and covered them up.