its a new form of connector on your motherboard to replace AGP, it has a bigger bandwidth and is used in new high-end cards, slowly AGP will be phased out but for now companies are still making cards for them.
PCI-e x16 is used for graphics cards, and there are some motherboards that come with PCI-e 1x or 4x for sound cards etc.
nVidias SLI technology and ATI’s Crossfire use PCI-e on motherboards.
THIS should explain it!