GnuPG is a clone of the popular Pretty Good Privacy (PGP) email security protocol. GnuPG allows you to digitally sign emails so that recipients can verify that the email is not forged. Your mail client, which must support GnuPG or PGP in order to use this feature, uses a private/public key system to ensure that email is sent securely.
For an introduction on GnuPG, see this GnuPG tutorial.
For more information on GnuPG, visit the project's official website.