A Presta valve is generally used with inner tubes for road bikes and other bicycles that require very high air pressure. It is skinnier than a Schrader valve, generally taller, and the valve sits on top of the valve stem.
Presta valves evolved as the preferred valve for these type of high performance wheels because the valve is designed so that the high air pressure inside the tube holds it closed, meaning it can maintain the higher air pressure longer. Also, the thinner valves fit the narrow rims used by road bike wheels better than that fatter Schrader valves.
The main drawback to Presta valves is that they are not compatible with the pumps that you find at gas stations, etc., unless you've got a little adaptor with you. Not a big deal, and most road cyclists carry them, but something to be aware of regardless.