A BCD, also known as a Bouyancy Control Device is the unit that your tank usually attaches to. It can take the form of a jacket, vest, or a backpack style.
It is used to adjust your bouyancy (to make you neutral in the water) by inflating or deflating with the air from your tank. They can often have pockets to hold weights.
See here for more information: http://www.padi.com/scuba-diving/padi-courses/about-scuba-gear/buoyancy-control-devices-%28BCD%29/