If the same thing has a different price in two separate places, you can profit by buying it in the cheaper place and selling it in the more expensive place.
Arbitrage is the practice of taking advantage of a price difference between two or more markets.
For example, if you find that stocks from some companies are traded at a lower price in one market than in others, then you can buy those stocks in that market and sell them in the other markets at a higher price, thus making a profit from the price difference. That's what arbitrage is.
An exchange arbitrage is a commonly-known trading strategy based on the differences between the prices for the same asset at different exchanges (the price difference is called the "spread").
Arbitrage remains a fascinating area of finance - by limiting risks to a minimum, the operator can generate substantial profits by multiplying small capital gains.
However, arbitrage remains much less mediatized than traditional trading; moreover, it helps to correct market imperfections and allows markets to achieve perfect efficiency while improving their liquidity.