It is something that is mentioned a lot on iDB throughout our jailbreaking tutorials and other jailbreak-related news. "Make sure you save your SHSH Blobs before you update," is a pretty common saying around these parts. We've been asked several times lately what it is, so I figured I'd post it.
An SHSH Blob is basically what Apple uses to verify the version of iOS you are running. That's why we tell you to save your SHSH Blobs before upgrading your firmware on your iDevice. Otherwise you might not be able to downgrade to a previous version in the event you needed to.