http://en.wikipedia.org/wiki/Particle_system

For those that don't fully understand, the gist that needs to be known:

The term particle system refers to a computer graphics technique to simulate certain fuzzy phenomena, which are otherwise very hard to reproduce with conventional rendering techniques. Examples of such phenomena which are commonly replicated using particle systems include fire, explosions, smoke, moving water, sparks, falling leaves, clouds, fog, snow, dust, meteor tails, hair, fur, grass, or abstract visual effects like glowing trails, magic spells, etc.
This is why some people will go "EFFECTS!" because there is an actual difference, especially pertaining to CGI/gaming.