Dot Gain refers to the action of halftone dots printing larger on the final substrate than on the transfer plates.
If the stock you are using is absorbent and the inks are liquid (as opposed to wax or toner) then the ink will "wick" into the paper as it is applied. This makes the dots fuzzier and larger and results in lower contrast and a reduction in detail.
For example, if you print a 10% cyan square on the page and then take a reading of the square with a densitometer, you may find that it is in fact a 15% cyan square. This means your printer or press has a 5% dot gain.
What do I do about it? A printer profile should automatically take dot gain into consideration and compensate for it. This is yet another reason to profile for every paper stock used, as each one will affect ink differently.