ping pong type idea. imagine hitting a ball to the server, and the server bouncing it back. The amount of time for the ball to complete this exchange is your ping.
For example, you round a corner at the exact same time someone else does on CoD 4. If you both see each other and shoot at each other's heads at the exact same time, who gets the kill? He will if he has the lower ping, because technically, he saw you first and shot first since he's pinging the server quicker than you are.
ping isn't that big a deal right now, but as you get better and better you'll want to look for lower pinging servers. It vastly affects how well you can shoot people and how much of an advantage you can get on them when in equal conditions. Example: you have two players of equal skill level spraying fullauto at each other with AK-47's. One player has a ping of 10 and the other has a ping of 110. 10 ping will undoubtedly get more shots - and hits - in during the same amount of time, regardless if both were shooting at eachother over the same stretch of time. It just takes more time for 110 ping's shots to actually happen.