Privilege is a concept used in anti-racist, anti-sexist, and similar anti-oppression movements.
Privilege is described as a set of perceived advantages enjoyed by a majority group, who are usually unaware of the privilege they possess.
A privileged person is not necessarily prejudiced (sexist, racist, etc) as an individual, but may be part of a broader pattern of *-ism even though unaware of it.
One tool for understanding privilege is the Privilege checklist.
Common terms used to help make people aware of their privilege is "Check your privilege" or "Your privilege is showing."
Many people, when asked to check their privilege, respond with "So? Am I meant to feel guilty? I didn't choose to be white/male/whatever." A good article addressing this is [http://blog.shrub.com/archives/tekanji/2006-03-08_146 "Check my what?" On privilege and what we can do about it."