In this hour long tutorial, James Sansbury of Lullabot talks about creating, building and extending Drupal "Features." He thoroughly explains the features module, discussing how to create a basic feature and how to provision that feature to a live site.
A Feature is a sort of wrapper module around Drupal functionality. For instance, a Blog feature might contain a blog node type, a view of blog entries, an image cache preset for an entry image, and all associated permissions. The Features module then exports all that functionality into a module that you can then use on any Drupal site.