The Web Feature Service (WFS) is an OGC standard that provides independent platform calls to request geographical features to a server. In practice, this means that a client makes an HTTP request to a server that implements the WFS standard and gets a set of features in varying formats, typically GML (Geographic Markup Language, http://en.wikipedia.org/wiki/Geography_Markup_Language).
If you want to learn more about this, there is a complete specification on the OGC site, http://www.opengeospatial.org/standards/wfs. From the OpenLayers point of view, the WFS is nothing more than another data source that we can read to fill a vector layer.
Before continuing, there is an important point to take into account. Most of the requests made by OpenLayers when data is loaded, such as GML, KML, or GeoJSON files, are made asynchronously through AJAX requests.