It's a camera function that's used mostly in auto modes. Basically what it does is it tells your camera to under or over expose the photograph by a certain amount. Meaning, it meters the scene for what it should be properly exposed for, and then adjusts the settings to expose the photograph for +/- the EV in 1/3 increments.
It's no different than changing the aperture or shutter speed, it's just that you don't have any control over what is determining your exposure. Your camera does. So if it wants to shoot on a smaller aperture to underexpose a scene, it will (unless you are on Av). I find that the best way to get consistent results is to use manual, and determine what a good exposure for the area I am in is, and then decide if I should slightly overexpose, or underexpose depending on the situation.
But it's all personal preference really. Hope this helped, as I'm a few drinks deep.