According to Wikipedia,

A bookmarklet is an applet, a small computer application, stored as the URL of a bookmark in a web browser or as a hyperlink on a web page.

As the name suggests, a bookmarklet is basically a bookmark, only that it has special capabilities. These capabilities can be to change the look and feel of the current page or maybe save the current page in PDF format.

In the video below I have shown how you can save a bookmarklet and later use it: (Watch the video full-screen)
(I have used the Download PDF bookmarklet)