A ROM is a whole new OS/firmware for your phone. With the Captivate, the main drive is that people are using hacked-up ROMs in order to get Android 2.2 "Froyo" working on the Captivate prior to an official release from Samsung.
Unfortunately these ROMs are either based upon early unfinished developer "beta" code that has issues, or ROMs for different hardware than the Captivate... both of which have to then be massaged, hacked, and tweaked in order to sort of work. Some work better than others, but all have some issues.