Original: Xanthan gum (When sometimes not made from wheat - See below for GF allergy information) is also used in gluten-free baking. Since the gluten found in wheat must be omitted, xanthan gum is used to give the dough or batter a "stickiness" that would otherwise be achieved with the gluten.
Simplified: Gluten-free bakers use xanthan gum instead of gluten to make bread dough or batter "sticky."