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 than a wheel bearing and a hub would be when seperate items, but when the bearing goes bad, the new part will be more expensive.
The Difference Between Wheel Bearings, Wheel Hubs, & Hub Bearings by Cars Simplified
A wheel bearing is a bearing that allows the wheel to turn with greatly reduced friction relative to the components that it attaches to. A wheel hub is the section that the wheel is bolted to. A hub bearing is a wheel bearing with integrated hub, and can also be called a wheel bearing or wheel hub when being less specific. Ideally, the difference will be known, but on most vehicles, it is clear what is meant when one of these three terms is looked up on auto parts catalog software.
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. Typically, a wheel bearing will need to be packed with NLGI 2 grade grease
"Sealed For Life" Bearing Lubrication
On wheel bearings that are "sealed for life" (like most modern hub bearing assemblies), the bearing comes assembled with the proper amount of long life grease. On a vast majority of these bearings, there is no way to add or replace grease without damaging the bearing in the process.
A wheel bearing that is considered "sealed" isn't perfectly sealed, either, but does hold up to harsh conditions better than their servicable counterparts. A trade-off is made where with a sealed bearing you get longer service intervals at the cost of having to replace the whole bearing when service time comes.
The type of lubrication found in many sealed units is NLGI 00 grade semi-fluid grease.