The Extensible Markup Language (XML) is a W3C-recommended general-purpose markup language for creating special-purpose markup languages, capable of describing many different kinds of data. In other words, XML is a way of describing data.
An XML file can contain the data too, as in a database. It is a simplified subset of Standard Generalized Markup Language (SGML). Its primary purpose is to facilitate the sharing of data across different systems, particularly systems connected via the Internet. Languages based on XML (for example, Geography Markup Language (GML), RDF/XML, RSS, Atom, MathML, XHTML, SVG, XUL, MXML, EAD, Klip and MusicXML) are defined in a formal way, allowing programs to modify and validate documents in these languages without prior knowledge of their particular form.
Another view is that XML is a wide standard to encode structured information.
The Wikipedia entry for the term XML can be found here.
Here is a 70minutes Video giving an insight on XML11, an extension of XML and an Abstract Windowing Protocol.