HTTPS provides a combination of the HTTP and SSL protocols, enabling encrypted communication between your computer and a web server. Without it you're exposed to sniffing attacks on the network; for example, if you're using a public Wi-Fi to access Facebook via plain HTTP, someone using the Firesheep add-on for Firefox can easily retrieve your data. HTTPS makes it a lot harder to do that.
The feature is available as an option on the Account Settings page. If you don't see it yet, don't worry; Facebook will be gradually rolling it out over the next couple of weeks.
Those who are concerned about online security probably know that it was possible to access Facebook via HTTPS for quite some time now, for example using the HTTPS Everywhere Firefox add-on, but some of Facebook's features, for example chat and photo uploads, did not work properly over HTTPS.