Personal Identification Number. It's a unique number specific to your device that differentiates you on the RIM servers from everyone else, similar to a phone number.
You can exchange PIN's with another BB users and then send each other direct BB to BB messages, called PINs which are free of text message or air time charges, and only incur a small data charge. (often you will have unlimited data especially if you are US based). Additionally you have the BBM program with is RIM's own IM program that allows for more robust messaging between those who have exchanged PIN info, and are on each other's "buddy" list.
Also your PIN is often used to track your app purchases via app vendors, such as App World and Mobihand.
