Steganography is a technique in which data or files are hidden and their existence is not obvious to casual inspection. For example, a text file can be hidden inside an image or digital audio file, the saved file looks like any another document but with the right software the hidden data can be extracted and viewed.
Most steganography software will encrypt the data and you will be asked for a password to extract it, this means that even if somebody detects hidden data, they would still need to break encryption.
In essence, the data is hidden by making many tiny, inaudible imperfections in the file, for example, if a picture has lots of yellow pixels, the human eye will not notice it if two of the pixels at random are a little dark, text binary data can be hidden there and the photo will look the same.
The main problem of steganography is that it can not be used to hide huge files, the carrier file must always be bigger than the data contained within. Steganography is great for text messages but not to hide big picture and video files.
The benefit of steganography is that nobody will know you are communicating with others and you can post a photo with hidden data encrypted inside on a public sharing site and nobody will realise that you are sending a secret message, only the person you communicate with will know it when you let him know what image contains the message and the password to decrypt it.