A principle in economics, political economy, and/or game theory. Simply put it is a theory which attempts to predict behavior based on something more than cost/benefit analysis. The idea here is that "utility" is often a better indicator of rational behavior.
Utility can be loosely defined in this context as the pleasure or gratification one gets from a specific activity or the expectation of this pleasure (hence "expected"). This concept can be applied with probability to make very interesting arguments for and against gambling.
A decent bibliography for further study of utility theory can be found here (http://cepa.newschool.edu/het/essays/uncert/choiceref.htm)
An interesting application of this theory is something I cooked up when my wife and I were trying to figure out what home improvement projects to undertake this summer. I created a system of multivoting where the two of us would give weight to the possible projects based on criteria that would mean the greatest utility for us. Some of the things we looked at were energy efficiency, cost savings, safety, etc. Some of these concepts were more important to us than others, and were thus weighted higher. At the end of our voting session, I came up with a number (a factor of expected utility, if you will) that when the cost of the project is divided by this factor to come up with a figure that is, if you will, a weighted cost of the project per unit of utility. In this way we were able to prioritize.