When you delete files from your hard drive the standard way (ie Empty Trash in OS X and Empty Recycle Bin in Windows) the area on the hard disk where those files are stored is marked as deleted, but the files themselves are not actually removed. This is because it's a lot quicker to tell the OS that that space on the hard drive can be written over in the future without actually removing the information. Only when all your hard drive free space is used, and the hard drive comes to that area of the disk will the files be overwritten with new information.
This means therefore that that information, as it technically still exists, can be recovered. There's fairly simple software out there that will let you recover data marked is being deleted without it actually having been removed. If you had sensitive files on your hard drive for example, you could delete them the standard way and go on to sell the drive/computer at some point, and those files could technically be recovered.
"Secure Empty Trash" in Mac OS X performs an overwrite of the disk area where those files are stored, with 0's, 1's and random information several times. The upshot is that the files are definitely removed (or overwritten) on the hard drive, but it takes a lot longer.