The X-Frame-Options HTTP header field indicates a policy that specifies whether the browser should render the transmitted resource within a frame or an iframe. Servers can declare this policy in the header of their HTTP responses to prevent clickjacking attacks, which ensures that their content is not embedded into other pages or frames.
Clickjacking is when an attacker uses multiple transparent or opaque layers to trick a user into clicking on a button or link on a framed page when they were intending to click on the top level page. Thus, the attacker is "hijacking" clicks meant for their page and routing them to other another page, most likely owned by another application, domain, or both.
Using a similar technique, keystrokes can also be hijacked. With a carefully crafted combination of stylesheets, iframes, and text boxes, a user can be led to believe they are typing in the password to their email or bank account, but are instead typing into an invisible frame controlled by the attacker.