Bracketing is the action of capturing the same shot using different exposure values to make sure the whole scene is exposed properly. Bracketing can be done manually or using the Auto Exposure Bracketing (AEB) function.
In most cameras, AEB allows photographers to select the exposure compensation for the additional shots, which are taken automatically as you press the shutter release. For most compositions, 1/3 exposure compensation is a common setting.
What you get is three images (the order is dependant on your menu settings) one correctly exposed, one under exposed and one over exposed.
NB You can set the camera to take 5 (or more) images but no many folk do that).
Merging these three images (Photoshop, Gimp or many other editors) gives great mid-tones from the correctly exposed image, great sky from the over exposed image and great shadow detail from the over exposed image.