A wikilink is any link from one page on Wikipedia to another. The more recognizable phrase is "internal link", but internal links have a special value on a wiki-based project, and a special name.
You'll most readily recognize wikilinks as the blue-colored links on pages that take you somewhere else: usually to a different page, and sometimes to another section within the same page (like in a table of contents).
The basic code for making a wikilink is remarkably simple: two brackets around the phrase you want to link. To link to the page Wikipedia, write [[Wikipedia]]. In the Visual Editor, the Link button makes this even easier.