It's sort of meandering dance similar to a conga line, but usually set to New Orleans jazz. The name comes from the history of the line typically forming in the wake of street parades.
Second line is a tradition in brass band parades in New Orleans, Louisiana. The “main line” or “first line” is the main section of the parade, or the members of the actual club with the parading permit as well as the brass band. Those who follow the band just to enjoy the music are called the “second line.”