In 3D rendering, a volumetric light is a light source that tries to simulate the atmosphere as well - that is, it tries to make fog, dust, other particles in air, and other things like that as realistic as possible. Considered somewhat better than the normal lights, but also takes a lot of time to render and is not available in all renderers.
Usually in 3D the lights are not that visible, usually only the shadows, glitter of the light on the surfaces, and shaded surfaces are visible. With volumetric light, the light source and the light beam itself are visible, particularly if the atmosphere has light-absorbing stuff (like fog) on it.
If you want to picture a cliché: In an otherwise dark scene, Make a solid thing with a hole that's shaped like your favorite logo and put a volumetric light source behind it, and some fog in the air. Voila! Kewl "light shines through your logo" thingy. Amaze your friends and family, annoy perfect stangers. =) Volumetric light has a lot of uses in places where specific kind of atmosphere is needed, and also when making natural scenes (morning fog, mmm...)