Megillah (meaning "scroll") is the name of the Book of Esther.  When it is read in the synagogue on Purim, the Megillah is unrolled as it is read.  The Megillah tells the story of Esther, Mordechai, (insert gragger sound here) Haman, and Ahasueros. 

The word Megillah has become part of the English language, and has come to mean "a story repeated in its every detail."  In the second century C.E. an entire tractate of the Mishna, called the Megillah, was written.  The tractate devotes itself to all the details of the Purim holiday, and its observances, and especially to the specific rules concerning the reading of the Scroll of Esther.

Although five books of the bible are called megillot or scrolls (Esther, Lamentations, Song of songs, Ruth, and Ecclesiastes,) when the word megillah is used without specification, it referes to the Scroll of Esther.  This is so because is early Talmudic times (prior to 250 C.E.) the Book of Esther was the only scroll read in the synagogue.