So basically it's a thing that Mercury does (appears to go backwards in the night sky) that supposedly effects (almost always negatively) stuff elsewhere. So like, if you're having a REALLY BAD WEEK of almost cosmic bullshit, check the charts, Mercury might be in retrograde.
It's like almost certainly bullshit, but it's also fun to be like "ooOOoo you broke a glass, Mercury must be in retrograde".