It’s sort of a casual term for a transitional fossil. You see it most often in discussions about human evolution, but it’s used in other contexts as well.
Some writers look down on its use because it’s not a very precise term; the missing link is always a moving target. It’s a fossil we haven’t found yet, but whose discovery would connect two species we think are related. We never really find the "missing link" because with every discovery, a new gap is created which could be illuminated by further discoveries. Pretty much every hominid fossil discovery is headlined as a "missing link."