Setting up a Drupal site typically involves downloading and configuring Drupal core, then downloading and configuring various contributed modules, as needed. To make this process easier, there are a variety of "pre-configured" versions of Drupal you can download and use for specific types of sites (e.g. a blogging site, a conference site, a corporate Intranet site, etc.). These "pre-configured" versions of Drupal are called "distributions".
Drupal distributions are listed as projects in Download & Extend, filterable by compatibility, popularity, keyword, and more. Many distributions include code (such as the jQuery library) that cannot be hosted on drupal.org due to incompatible licensing, so downloads of these distributions are provided via a 3rd party website.
Distributions vs installation profiles
There is sometimes confusion regarding the terms "distribution" and "installation profile" (also called "install profile"). Here are the definitions: