SELinux stands for Security-Enhanced Linux and is a comprehensive feature of Linux that allows system administrators to control security access policies with highly advanced modules in the Linux kernel. It can be applied to any Linux distribution and comes installed by default on some. It was originally based upon projects initiated by the U.S. National Security Agency and is considered to be a high-level security feature.
Redhat Enterprise Linux and CentOS are both designed to run SELinux out of the box with little effort. Some desktop Linux users disable it and see it as overkill, but for a server, particularly one that runs web servers, mail servers, database servers, and other servers accessible via the Internet, have that extra security can go a long way in preventing attacks.
To read a full tutorial on setting up SELinux in CentOs/Redhat, visit nixCraft.