A build is any software compiled into a working version. Some builds are more important than others, such as the build meant to gather together all of the work across an iteration, a release or for a milestone. However most builds are purely for internal use.
Many studios practise automated building, such as running one overnight. Some studios employ a specialist position of build manager, a programmer whose main responsibility is to ensure the integrity of the build. Larger studios also often use different types of build for complex projects, such as a build that only updates the main engine or a build that only updates level data. Builds are usually managed with software that permits team members to check-out or check-in files (to keep prevent versions from clashing).
In recent years a strategy called test-driven-development has become popular as a way to manage builds. This involves creating an automated testing framework that checks every build and, if it passes, releases it. This permits building and integration to happen on a continuous basis, which speeds up development. Lean startup advocates are particularly big fans of test-driven-development.