Stands for "Record Of Illegitimate/Indeterminate Origin". Some people also call them bootlegs. Essentially, these records (or, CDs) contain music by a particular band which was not formally released to the public. For the most part, this includes recordings of live concert performances, but can include music which has been pirated from another source (perhaps, a different medium?).
While, technically speaking, ROIOs are illegal, the collectors and traders of these records do so quite openly. The reasoning being that music which would be previously unavailable to the public should be available to the fans for pure listening and appreciation value. Most of the time, ROIOs will reveal an interesting twist in the band's music or shed new light on a band through live performance. Live recordings also give you a better feeling of being there, at the show.
Roger Waters recently suggested that collecting "bootlegs" is an acceptable and "interesting" hobby, thus legitimizing Pink Floyd ROIOs to an extent. It also is quite clear that Mr. Waters is not very worried about the existance of ROIOs, probably due to the fact that the quality on a ROIO isn't exactly that of a CD you'd find in a large music store. Not to mention that those who collect ROIOs probably already own the band's albums in triplicate.
In the case of Pink Floyd, over 300 ROIOs exist. You can get more information about Pink Floyd ROIOs at http://www.pf-roio.de.