Definition
Four or more exercises performed back to back with no rest, usually for the same muscle group or the same region of the body.
A superset is two exercises, a tri-set is three, a giant set is four or more. A shoulder giant set: overhead press, lateral raise, rear delt fly, upright row, 10 reps each, then two minutes rest and repeat twice.
The value is density. Twelve working sets in about 15 minutes is roughly half the time straight sets would take, which makes it useful at the end of a session or with a client who is short on time.
The cost is load. By the third exercise the weights have to be light, so a giant set is a poor place to train strength. Keep the heavy compound work in straight sets and use giant sets for accessories.