JPEG is a common file format for photographs. The name refers to the Joint Photographic Experts Group - a group that maintains the standards for a compression algorithm used to create JPEG pictures.
Because the file format uses compression to store the photograph, it's considered a 'lossy' format, meaning the file contains only part of the information that can be rendered for the photograph and relies on the software rendering the image to extrapolate the missing information to render the file correctly.
The JPEG compression format has a range of compression algorithms from low to high which determine the amount of information omitted from the stored file. The more information omitted, the smaller the final image can be rendered before boxy shapes called pixels can be seen in the image.
Because of the compression, JPEG files are smaller than most other image formats making them quick to transfer and load on web-pages. For this reason, it is one of the most commonly used formats in digital photography.