Staking consists of locking up an amount of cryptocurrency to take part in validating transactions on a network that uses the "proof of stake" mechanism, such as Ethereum since 2022. In exchange for providing that guarantee, the participant receives periodic rewards in the form of new tokens.
Staking vs. mining
On proof-of-work networks (such as Bitcoin), security comes from the computational energy spent mining. On proof-of-stake networks, security comes from the capital locked up: the more you have at stake, the greater your incentive to validate honestly, since malicious behavior can be penalized with the loss of part of what was staked ("slashing").
Direct staking vs. staking through an exchange
You can stake by running your own validator (which requires technical knowledge and, on some networks, a high minimum amount of capital), or delegate your tokens through a CEX or a liquid staking protocol, which is simpler but introduces an additional intermediary.
Risks to consider
Beyond the price risk of the asset itself, some networks require a lock-up period during which you can't withdraw your funds, and "slashing" can reduce your capital if the validator fails or misbehaves.