Basically, TrackBack allows you to refer to a post in another Weblog and have that noted in that Weblog. For instance, I posted an entry with a TrackBack to this entry on Gothamist. On Gothamist’s site, below the entry and above the comments, there’s an excerpt from and link to my entry. Similarly, if you go back to my original entry responding to Meg, which I linked to above, you’ll see an excerpt from and link to this entry in the comments section (since WordPress automatically creates TrackBacks for links between entries within a WordPress Weblog).
The practical value of TrackBack is that it allows discussions across Weblogs. If you have a lot to say about an entry on someone else’s Weblog, you can continue the discussion on your Weblog rather than in the comments section on theirs, while still making readers of the original entry aware that there’s additional discussion elsewhere. So, for example, someone reading my previous answers to Meg’s questions can see that I’ve continued my answers here. The only drawback I can see to TrackBack is that it requires support from the Weblogging software that you use, and not all Weblogging software supports it. As far as I can tell, WordPress, Radio, Movable Type, and TypePad support it, and Blogger and LiveJournal don’t.