A button found in many web browsers that returns to the previous page in browsing history. (The chances are that if your web browser doesn't have one, you should get a better browser, or get an appointment with a psychiatrist in advance...)
Back button is an important part of web usage. According to Jakob Nielsen, it's the second-most used thing after links themselves. Some sites try to break its functionality - this is often just plain annoying.
Update, same day: The Javascript gimmicks that are mentioned below are slightly dangerous. You should always make your navigation with normal links, because what you say is "history" is not what we may think is "history" - in other words, you can't know where the user came to your page!
Leave the Back button functionality for the back button and do normal links just like everyone else...