A nice little coincidence just happened for me: right after my boss had emailed me asking if a certain click-tracking report in our site's admin section could run any faster, the developer next to me, who was looking through some of our existing code, asked me what this "NOLOCK" mention in an MS-SQL query meant. Talk about perfect timing! I probably wouldn't have remembered NOLOCK if he hadn't brought it up.
Used correctly, NOLOCK is a handy-dandy little feature. You may not know that your database puts locks on tables just like ColdFusion's cflock statement can lock variables in memory. Locks can either be exclusive, meaning that no other process can read or write the table because the first process is writing to it, or they can be read-only, meaning that other processes can read the table at the same time the first process is reading it also (but no process can write to the table, or else the reads might become corrupted).
So, locks are used by databases to ensure data integrity. But, every once in a while, if two processes are trying to access the same data at around the same time, locks mean that queries might run a little slower than usual because one process will have to wait for the other to finish before it can run. That's where NOLOCK can come in handy. If you're running a SQL statement for, say, a report, and you know it's going to take a long time to run and be reading lots of records, you can use NOLOCK to speed it up. Just add the phrase "WITH (NOLOCK)" in your FROM clause after any table which you want to read without locking. So, for example, in my click-tracking report code, which reads thousands upon thousands of click records while the clicks table is being updated with new click data: