gain is basically a realized profit
. It occurs when you've invested capital in something, and then sold it at a profit. (If you sell it at a loss, you have a capital loss.)
The term capital gain is mostly used for tax purposes. In Canada at least, capital gains are taxed differently (and more favourably - the current rate, after a recently (October 2000) announced reduction, is that only 50% of the amount of capital gains are taxable) than other income. This is an effort by the government to encourage investment in the canadian equity markets, which generally has a stimulative effect on the economy. Ahhh, progress marches on.