In strategy games, there is a fog over areas where you have no vision (ie places you dont have any units that can see exactly what is happening at that moment). This introduces uncertainty and allows for more strategy based on positioning and vision.
While people have described this in regards to RTS games, I feel that it might be more appropriate to link it to RPG games where unexplored parts of the map are obscured by a fog until you visit them.
It's worth also noting that some gamers who are real completists love visiting every location to remove the fog, and there's often achievements linked to this.
In (particularly real-time) strategy games the map is often hidden or grayed out at the beginning of a match beneath a "fog of war". As you move your units around the map the area in their vision is revealed. This is particularly important as there may be enemies/objectives in sections of the map which are unexplored.
This is based on a real military concept: http://en.wikipedia.org/wiki/Fog_of_war