An LED Matrix is an array of LED's with the anode or positive terminal of each row connected together, and the cathode or negative terminal of each column connected together. Or the anode can be connected to a column, and cathode connected to a row.

 

An 8x8 array

They come in various sizes, colors and formats.
The most common sizes are 5x7, 5x8 and 8x8 displays. This means that, for example, a 5x8 display would have 5 columns with 8 rows of LED's.

 

A 5x7 Display

An 8x8 Display

 

The most common colors are red, green and yellow. There are also two and three colored versions, with the different colored LED's sharing a common pin in each row or column and a seperate pin for the corresponding column or row. This allows each color to be turned on or off individually. When there are two or more colors, the LED's will share a common anode or cathode (positive or negative respectively).