Cross-fading helps to mix two songs together. The idea is heavily used in techno for loops and stuff like that. The concept has gained widespread support because of Winamp supporting it by default in some versions.

Cross-fading is a relatively simple concept. The media player reads and sees how long the song is. When the song is nearing completion, it will start playing the next song on the playlist. While the song is playing, the ending song will gradually get quieter and the new song will get louder. Eventually the old song will be done and the new song will be faded in.

On most media players, cross-fading is just a nice little feature and doesn't offer a lot of practical use. However, it helps to make your music more seamless.