Quick-release (QR) fittings are most commonly found on wheel axles, but also on saddle-post fittings. They replace nuts and bolts where you want to be able to remove the wheels by hand. A QR fitting comprises a skewer going through the fitting, a hand-operated nut at one end for gross adjustment of the tension, and a lever on a cam at the other. When the nut is hand-tight, closing the lever provides enough compression to keep the fitting secure.
Some QR fittings replace the lever with some kind of keyhole, so that the fitting can only be released with the proper key. This makes opportunistic theft of the wheel or saddle much less likely.
The term "quick-release" is also used by manufacturers (but not usually by cyclists) to describe any fitting that can be undone by hand, for instance of a light or a saddle-bag.
More information can be found on Wikipedia: http://en.wikipedia.org/wiki/Quick_release