it is a link that appears on every page of a site. If a site has a thousand pages, then you get your link on every one. They are worth it if you get them on the right site
I think they send a major flag to google that you are trying a bit too hard to get your site up in the SERPS. It is also likely to be bad for the site that does the sitewide, unless the target site already has trust. I would not mess with them myself.
If you are going to get sitewide links, make sure you also have a enough one-page links to balance things out and create a natural looking backlink profile otherwise you will set off spam flags. That being said, I think they can be quite beneficial at least in yahoo and msn.