A common phrase refering to the highly-populated area surrounding the western shore of Lake Ontario on the Canadian side. It includes the cities of Toronto, Mississauga, Oakville, Hamilton, St. Catherines, and Niagara Falls. If you look at a map and connect these cities together, you'll find that it does indeed make a vague U-shape.
The area is home to a majority of residents of the province of Ontario. In fact, at last census, it was estimated to be home to roughly 6.7 million residents; over half the population of Ontario.
It's also arguably the dominant urbanized centre of Canada, although residents of Vancouver and Montreal will probably have a problem with that declaration.
Although innumerable socities and clubs geographically affiliate themselves with the Golden Horseshoe, it itself has virtually no presence on the web.