(Yet another) thing to do in post-production. It is not so often done with music (apart from when mixing two songs into one), but with TV Shows it happens very frequently. It is a method of letting one sound track 'slide' into another without a too harsh transition.

It is done by slowly decreasing the volume on the first track, while increasing the second. The increase/decrease starts at the same time, so when the first track hits 0%, the second is at 100%.

How to:
First, combine the two tracks and let them overlap each other a little (how much depends on how long you want the cross fade to last). Then, where the second track starts, make the first track slowly decrease its volume, so that it hits 0% at the same time as it ends. The second starts at 0% then slowly increases its volume where the first track ends.