BD-Live is a feature on Blu-ray discs that allows new content to be downloaded to the Blu-ray player.
BD-Live features include movie trailers, automatic firmware updates, featurettes, games, and more.
BD-Live was implemented with Profile 2.0. Any player sold before Profile 2.0 cannot be upgraded to 2.0 (other than the PS3).
For a description of BD-Live and other BD features, check out this Wikipedia page.