cross-referencing is about making connections from a point in a document to related information elsewhere, usually within the same document.
LaTeX's standard commands for generating cross-references are
There are many packages enhancing LaTeX's cross-referencing capabilities, for instance cleveref,
xr and hyperref. The last two are outstanding:
xr allows cross-referencing to other LaTeX documents and
hyperref can produce hyperlinks in PDF documents. Since the latter is a very complex package for which we've got many question, please use the tag hyperref instead, if your question specifically concerns this package.
See also: Cross-reference in the Wikipedia.