Wikipedia has good description about it. It is also called F-Stop. This pic is from Wiki.
F-Stop = Focal Length / Diameter of the hole through which light comes (Aperture). In other words
F-stop = F/A
As the above answer explains well,
1 stop = double the light
2 stop = 2*2 = 4 Times the light
3 stop = 2*2*2 = 8 times the light
So to change from ISO200->ISO400 is one stop. ISO200-ISO800 is two stops and so forth.
Another way of showing stops is by means of focal length, as show in the pic
one stop = f/5.6
two stop = f/4
three stop = f/2.8
Why is the denominator not the whole number? This is because it is the ration of area. And the ratios of areas must be whole number. Don't go by the number underneath the f. This is just a number that divides the area exactly by two.
Another thing that is hidden in all this calculation is the the aperture (through which light enter the camera). This is variable and can be increased, decreased. The greater the aperture of the lens, the greater is the price. And that is because that lens is capable of feeding more light to the camera at any one instant.
For simplicity consider a 35mm lens (35mm is the focal length). If we know its f-number, we an find the max aperture size. Lets say it has f-number = 1.8. Lets calculate Aperture.
F-stop = F/A
=> A = F/F-stop
=> Aperture = 35mm/1.8 = 19.4mm (This is the maximum aperture this lens can have which is obviously very large).
Now consider a different lens 35mm/f 16. Lets fine it aperture size
A = 35mm/16 = 2.1mm. You can see that this will allow far more light than the first lens we consider.
Now consider another lens 85mm/f 1.8, lets find its aperture size
A = 85mm/1.8 = 47.2mm (Maximum Aperture).
You can see that this lens has huge aperture and you can see that why it is so expensive. So aperture seems to be the hidden factor.
Addition:Where do those numbers come from?
Lenses are marked with a series of f-stops, each one lets in half as much light as the previous one. The light-gathering ability of a lens is determined by its area, and f-stops are determined by diameter. Area is related to diameter squared. The progression of f-stops, 1 - 1.4 - 2 - 2.8 - 4 - 5.6 - 8 - 11 - 16 - 22 - 32, are powers of the square root of 2. source