A word, which has been assimilated into another language, usually because the destination language did not have an equivalent word. This also applies to entire phrases.
Examples of loanwords that have recently become part of English are
menage a trois from French, smorgasbord from Swedish, schadenfreude and zeitgeist from German, karaoke and manga from Japanese, and koppie and trek from Afrikaans.
Other words from Afrikaans have made it into South African English, but not into Standard English, like lekker and braai. Though this node is not a list of loan words, /msg me if you have some more choice examples.
Languages differ in their attitude towards loanwords. English is very accepting of loan-words, and after a few centuries they become naturalised citizens, perhaps with changes in pronunciation.
Japanese tends to reshape them into new words that are often unrecognisable in the original language (salariman for an office-worker is one of the easier ones). See gairaigo for a longer discussion of Japanese loanwords.
The French have laws and officials dedicated to stopping the influx of English words, and would rather mandate their own equivalent coinages.
You may also wish to read What loan words say about a society.
It is also worth noting that all English words that have Q not followed by U are loan words, mostly of middle-eastern origin.