A lucky loser is a player who lost in the final round of qualifying but gets into the main draw anyway, because someone withdraws after the draw is made. Places go to the highest ranked losers available, sometimes drawn by lot, and they can be called up at very short notice.
Qualifying is a small tournament that runs before the main event, usually over several rounds, with a set number of places in the main draw at the end of it. Winning through is the route in for players ranked outside the direct entry cut-off and for those without a wild card.
Losing the final qualifying round is therefore the worst result in the week, and the lucky loser rule softens it. Players who fall at that stage stay at the venue, keep practising and wait to see whether anyone in the main draw pulls out.
The waiting is the hard part. A lucky loser can be told an hour before a match that they are playing, having already spent a week competing. Beating a seeded player from that position is one of the more impressive things in the sport.