Duty free allows people who are immediately leaving the country to purchase some items free from tax aka "duty", this is because they will never use it in the country sold in, so it allows companies to try to make a bit extra money by selling some additional products for a little cheaper.

You generally find duty free shops in the international terminals of airports, and sometimes land borders too.

The most common products for this type of thing are stuff like alcohol and cigarettes that often have large taxes associated with them. In additional sometimes high-end products are sold too, since when you're buying something expensive, even normal sales (or VAT) taxes can add up to a lot.

Is it cheaper? Well.. sometimes, it kinda depends on the specifics of what you buy, where at, and where you are from (as in a product may be much more expensive in say Brazil than your home in the UK, so even if you buy it on discount in Brazil it might not be any cheaper, it may even be more expensive!)