SQL (Structured Query Language) is a specialized programming language for sending queries to databases. Most industrial-strength and many smaller database applications can be addressed using SQL. Each specific application will have its own version of SQL implementing features unique to that application, but all SQL-capable databases support a common subset of SQL.
The most commonly used databases in web hosting are MySQL and MsSQL. MySQL is free and was purchased by Oracle. This is generally available on any Linux server. MsSQL is Microsoft's database language and is only available on Windows servers.