A glossary is a dictionary of terms specific to a certain subject. A biology textbook might have a glossary in the back, so you can quickly look up all those technical words.
Many fields of study use terms that are pretty much restricted to that field of study, so authors often supply a glossary to help people understand what they're talking about. The glossary is often found at the end of a book or article and is usually in alphabetical order. A glossary can also come at the end of a chapter or even in footnotes. If you're just joining the world of Dungeons and Dragons, I recommend you look over the glossary, so you can get a sense of what your fellow gamers are talking about.