Seasoning is a treatment you do to and maintain on cast-iron and carbon steel pans (most woks are carbon steel). A thin layer of oil is applied to the pan and polymerized to it using very high heat. This creates a naturally non-stick, rust-resistant coating.

Woks are traditionally seasoned by heating up on a stove to veeeery hot tempreatures and applying oil, and stir-frying with scallions, ginger, and (if you can get some) chinese chives. After doing this about three or four times the wok is pretty decently seasoned. Subsequent frying in the wok will mature the seasoning, making it stay on better.

A really well-seasoned pan will also impart a good flavor to the meal you cook in it, and this imparted flavor will develop in depth over time as well.

A few things need to be done to make sure a seasoning in a pan isn't ruined. Metal tools shouldn't be used until the seasoning has developed considerably. The pan should only be washed with hot water, never any soap, as the seasoning is porous and will take in the soap.

My wok has already gotten to the point where the seasoning is wonderfully non-stick and I'm very happy about it. Carbon steel is porous and that helps somehow too but I'm not exactly sure how exactly that works.

Compare the picture in my other comment with the ones here to see kind of the difference of an untreated wok versus one that's been seasoned.