Simply put, it is the temperature difference that exists between urban areas and their surroundings.  Urban areas tend to be from 7 to 10 degrees hotter due to the concentration of heat-absorbing buildings, pavement, auto-exhaust, and hot air from cooling systems.  The bubble of hot air that encloses cities is in large part due to lack of vegetation and is a great contributor to smog, ozone and dust (from artificially created air currents from the rising hot air).  The urban heat island effect has also been shown to create unique weather patterns, with inordinate drought, high winds and electrical storms being more common than surrounding rural areas.