Lightning Out is a JavaScript library that can be imported into regular HTML pages, such as Visualforce pages, and other websites or other containers, such as Google Apps. Once imported, it exposes an API that allows the page developer to instantiate a Lightning component and inject it into a given HTML element on that page. The host page must provide a Salesforce session or OAuth token to allow this to happen in a secure way.
At the time of writing, Lightning Out does not support Lightning Web Components. In the meantime, you can wrap them in Aura-based components to work around this. Check the documentation for the latest on this here: https://developer.salesforce.com/docs/component-library/documentation/lwc/migrate_bundles.
The process of using Lightning Out for Visualforce pages is simplified through the use of the apex:includeLightning component on the page, which loads the JavaScript library and handles authentication. Call the $Lightning.use global method to begin the bootstrapping process to load the component into the page.
Using Lightning components on a Visualforce page does allow you to consider ways to develop new areas of your solution with Lightning while still delivering a Salesforce Classic user experience for customers that still require it. For more information on configuring Lightning Out, consult the applicable section in the Lightning Developers Guide (https://developer.salesforce.com/docs/atlas.en-us.lightning.meta/lightning/lightning_out.htm).