Wheel bearings allow a wheel to spin more freely (by reducing friction). These wear out over time, and need to be replaced. If you suspect one might need replacing, you can check your vehicle's wheels for play.
Some wheel bearings are built into the wheel hubs. There are fewer parts to go bad in this design, and can be smaller/lighter, but when the bearing goes bad, the new part will be more expensive.
Wheel Bearing Grease
Bearings need to be greased, or else they will overheat from friction and wear out quite quickly. Although general automotive grease will work, synthetic, heavy duty, and/or high temperature grease work best. Keeping the wheel bearings well-greased will help the bearings last a long time.