A Coronal Mass Ejection (CME) is an explosive outburst of solar wind plasma from the Sun. The blast of a CME typically carries roughly a billion tons of material outward from the Sun at speeds on the order of hundreds of kilometers per second. A CME contains particle radiation (mostly protons and electrons) and powerful magnetic fields. These blasts originate in magnetically disturbed regions of the corona, the Sun's upper atmosphere - hence the name.
Most CMEs form over magnetically active regions on the "surface" of the Sun in the vicinity of sunspots. CMEs are often associated with solar flares, another type of explosive "solar storm". However, CMEs and solar flares don't always go together, and scientists aren't completely sure how the two phenomena are related. CMEs are much more common during the "solar max" phase of the sunspot cycle, when sunspots and magnetic disturbances on the Sun are plentiful.
CMEs travel outward through the Solar System. Some are directed towards Earth, though many others miss our planet completely. The radiation storms which are a part of CMEs can be hazardous to spacecraft and astronauts. If a strong CME collides with Earth's magnetosphere, the disturbance can trigger a series of events that sends a burst of particle radiation into Earth's upper atmosphere. As the radiation crashes into gas molecules in Earth's atmosphere, it causes them to glow... creating the magnificent light shows of the auroras (the Northern Lights and Southern Lights).