What is a Jump list in Windows?

A jump list means those documents you have opened recently. When you right-click a pinned item in the taskbar, it will show up. That means when it is checked, Windows will remember which documents have been opened, so that they can be displayed.

Example of a jump list:

Source: http://www.addictivetips.com/windows-tips/windows-8-jump-lists-comes-with-better-privacy-options/

That is a Jump List. Accessed by right-clicking the application in the taskbar.