An Expression Tree is a data structure that contains Expressions, which is basically code. So it is a tree structure that represents a calculation you may make in code. These pieces of code can then be executed by “running” the expression tree over a set of data.
A great thing about expression trees is that you can build them up in code; that is, you build executable code (or a sequence of steps) in code. You can also modify the code before you execute it by replacing expressions by other expressions.
An Expression is then a function delegate, such as (int x => return x * x).
See also http://blogs.msdn.com/b/charlie/archive/2008/01/31/expression-tree-basics.aspx