Gravitational lensing is the effect of the bending of space as a result of a gravitational field.
Most people are familiar with the idea that the presence of matter bends space, and it is this effect which results in the force we call "gravity" - objects aren't "pulling" each other as much as they are "falling into" each other.
This bending is an actual, physical bending of space, and this fact is observable in gravitational lensing, specifically, in rays of light from distance sources which have to pass near strong gravitational fields. This lensing effect is similar to the effect seen if a source of light is observed across a curved surface, like a funhouse mirror. If the source is a round lightbulb, the bulb appears to be stretched when looked at through its reflection. When you see a distant star which is passing through a "gravitational lens" (much like a glass lens), the observed source (star, etc.) appears stretched.
That is gravitational lensing, in a nutshell.