Technically, a wah pedal is a type of filter pedal that uses a rocker switch to sweep the peak of a filter up and down with respect to its frequency. In practice, the pedal mimics the sound of a human voice going "wah-wah-wah-wah" while moving the mouth. Originally created by the Thomas Organ Company (by Brad Plunkett, who created it by accident), the Wah-Wah pedal was marketed as the "Cry Baby," Vox Wah, or "Clyde McCoy Wah."
In addition to manually controlled wah pedals, there are so-called "Auto Wah" pedals that vary the wah sound based on the pick attack of the player. Other more advanced auto wahs such as the Zvex Seek Wah can actually created easily modifiable patterns using an analogue sequencer that controls the pedal inductor. The instantly recognizable sound of a wah pedal has been used by everyone from Jimi Hendrix to Eric Clapton to Slash to Eric Johnson. It's hard to find an effects pedal that is more expressive and lets you cut through a busy mix than a wah-wah pedal.