One of the WebsitePatterns which aims to show the user where in a Web site they currently are. Typically found in the site's header, it tends to look something like this:
Root > Foo > Bar > Page
Where each element except the last is a hyperlink, allowing easy "upwards" movement in a site.
Note that a page's breadcrumbs are static. They show users where the page is in a site, not where the user has been. (The pixelpolitics link below claims the opposite.)
Related topics:
Examples: The solution to the static breadcrumb problem is the use of cookie-based breadcrumbs. Not ideal, perhaps, but if you advise the visitor why you are using cookies he'll probably let you set them. Make sure breadcrumb cookies are per-session and have a short life span.