MMX, SSE, 3DNow!, etc, are all examples of extensions to the original x86 instruction set that deal with Single Instruction Multiple Data (SIMD).
They speed certain operations where you can pack together a number of similar operations and do them at once, ie you want to multiply 4 different numbers by 6 or something like that. These instructions tend to be fairly common with multimedia and graphics.
MMX caters for integer operations, while SSE, SSE2, SSE3 and 3DNow! are floating point operations.