HIIT is high intensity interval training.
It is an extremely effective method of cardio to burn calories and really conditions your body. It has been shown to burn more calories during rest after the training than traditional, long cardio sessions at a steady pace.
The basic principle is that you increase your effort/speed/intensity every min or few in sets.
Here's an example of my HIIT program. On long cardio days I do about 23 mins of HIIT while on my weight training days I do about 15 mins before a weight training sessions, to warm up my muscles.
3 mins @ 60% effort
1 min @ 70% effort
1 min @ 80% effort
1 min @ 90%
1 min @ 60%
1 min @ 70%
1 min @ 80%
1 min @ 90%
1 min @ 60%
1 min @ 70%
1 min @ 80%
1 min @ 90%
1 min @ 60%
1 min @ 70%
1 min @ 80%
1 min @ 90%
1 min @ 100% (!)
3 mins @ 40-50% (cooldown)
Some people use a heartrate monitor, but I think its ineffective for HIIT because your body will always be at a high hearrate because of the intensity. Just judge for yourself, as you get more conditioned you will obviously be working harder. But I really suggest people not get into HIIT unless you're fairly conditioned cardiowise. I didn't start HIIT until my 6th week of my current program, I made sure I could at least run 30-45 mins nonstop.
You can do HIIT on anything, treadmill, exercise bike, ellipitical. I choose elliptical because its easire to change speeds on the fly (compared to most treamills where you have to increase speed with a button)