A double play, abbreviated DP (aka twin killing) occurs when two outs are made on a single play without an intervening error. A double play usually occurs as a result of a force out at second base then a throw to first base to retire the batter. It is somewhat rarer, but still moderately common, to see double plays with the force out at a different base or with a runner tagged out while between the bases.
Additionally, any player who leaves a base before a fly ball or line drive is caught must return to the base. A double play can result when a baserunner leaves the base early and the ball is caught by a fielder who throws to the base before the runner returns. An outfielder can also start a double play by successfully throwing out a runner trying to advance on a fly out, rather than one who fails to return to his base on time. An "unassisted double play" can result when a line drive is caught by an infielder who then tags the base before the runner returns. In very rare cases an outfielder can record an unassisted double play in analogous fashion, though usually on a short fly ball rather than a line drive.
Another type of double play is a "strike out-throw out" double play, in which the batter strikes out during a stolen base attempt that results in a caught stealing. It is possible to have other double plays, but they usually involve some kind of baserunning mistake or other odd event and are much less common.