A main is a player's primary player character. Sometimes this is the first character the player created and played, but often it is not. Generally it is the character that sees the most play time and investment of resources—and often is the highest level, or best geared—out of any other active characters on the player's account.
A player is said to "main" the class that they primarily play, e.g., "I play every class to some degree, but I main priest."
In addition to their main, many players have one or more alts.