A history palette is a tool available in some modern software applications such as Adobe PhotoShop and Macromedia DreamWeaver. It shows all your recent actions and operations in a list and allows you to jump back in time by selecting an item from the list.
For instance: If you were working on an image in photoshop, you may have a sequence of actions you wish to perform such as selecting an area, feathering the selection, selecting another layer then applying a filter. With a history palette, you can jump back to any stage of that process and change something before continuing your work. This allows you to try out different things without having to redo a lot of time consuming steps.
The history palette is an improvement on the standard undo/redo system implemented by many applications. Other features of a history palette may be: selecting a set of steps in your history and saving them to a macro to be used again and again, marking a point in your history and saving that to a new image or deleting a step from your history.
All in all, a very useful feature to have available to you, but programmatically very difficult to implement properly.