An orphan is a word, phrase, or line that appears by itself at the end of a paragraph. Because it's not attached to anything, it looks "orphaned."
Most word-processing programs will automatically alert you to orphans, but it's still a good idea to proofread for them manually. Having too many orphans can make your writing look choppy, so it's best to avoid them if possible.
If you can't avoid an orphan, try to balance it out by breaking up a long paragraph into two shorter ones, or by starting a new paragraph after the orphaned word. That way, it won't look quite so lost and alone.