"Non-fungible" means each unit is unique and can't be exchanged on equal terms for another, unlike a "fungible" cryptocurrency such as Bitcoin, where any unit is worth exactly the same as any other. An NFT is a token recorded on a blockchain that certifies ownership of something specific: an image, a video, an item from a video game, or even a right to access an event.
What an NFT actually certifies
The token itself usually doesn't contain the file (the image or video is stored separately, often off-chain), but rather a verifiable record of who owns it at a given moment and the complete history of previous transfers.
Uses beyond digital art
Although they became popular through digital collectibles and art, they're also used for event tickets, memberships, ownership certificates for tokenized real-world assets, or items within video games.
Specific risks
Their value depends almost entirely on speculative demand or the interest of a particular community, with far lower liquidity than a cryptocurrency: selling an NFT can take days or weeks if there's no buyer willing to pay that price, unlike an asset with a deep, continuous market.