To put it simply - Lead magnet is something you offer for free in exchange for visitors’ email and other data. It could be a short ebook, promo code, trial version of some software etc.
Thus, you can work with people, who are not ready for direct purchase but are interested in your business. That’s a great start to building trust between you and preparing them for commercial offers.
Sometimes cheap special offers can be also considered as a lead magnet (e.g. new smartphone test drive for $5 per/week).