A lot is the conventional block size for an instrument. In US stocks a round lot is 100 shares. In forex a standard-lot is 100,000 units of the base-currency, with mini and micro-lot sizes below it. Options and futures trade in whole contracts.
Knowing the lot size is essential for position-sizing, because it determines how much money moves per tick or pip.
Example: 1 standard lot of EUR/USD is 100,000 euros. A one-pip move (0.0001) is worth $10. A micro lot (1,000 units) makes the same pip worth $0.10.
Related: standard-lot, micro-lot, contract, position-sizing