What is context in _.each(list, iterator, [context])?

The context parameter just sets the value of this in the iterator function.

var someOtherArray = ["name","patrick","d","w"];

_.each([1, 2, 3], function(num) { 
    // In here, "this" refers to the same Array as "someOtherArray"

    alert( this[num] ); // num is the value from the array being iterated
                        //    so this[num] gets the item at the "num" index of
                        //    someOtherArray.
}, someOtherArray);

Working Example: http://jsfiddle.net/a6Rx4/

It uses the number from each member of the Array being iterated to get the item at that index of someOtherArray, which is represented by this since we passed it as the context parameter.

If you do not set the context, then this will refer to the window object.

context is where this refers to in your iterator function. For example:

var person = {};
person.friends = {
  name1: true,
  name2: false,
  name3: true,
  name4: true
};

_.each(['name4', 'name2'], function(name){
  // this refers to the friends property of the person object
  alert(this[name]);
}, person.friends);

The context lets you provide arguments at call-time, allowing easy customization of generic pre-built helper functions.

some examples:

// stock footage:
function addTo(x){ "use strict"; return x + this; }
function pluck(x){ "use strict"; return x[this]; }
function lt(x){ "use strict"; return x < this; }

// production:
var r = [1,2,3,4,5,6,7,8,9];
var words = "a man a plan a canal panama".split(" ");

// filtering numbers:
_.filter(r, lt, 5); // elements less than 5
_.filter(r, lt, 3); // elements less than 3

// add 100 to the elements:
_.map(r, addTo, 100);

// encode eggy peggy:
_.map(words, addTo, "egg").join(" ");

// get length of words:
_.map(words, pluck, "length"); 

// find words starting with "e" or sooner:
_.filter(words, lt, "e"); 

// find all words with 3 or more chars:
_.filter(words, pluck, 2); 

Even from the limited examples, you can see how powerful an "extra argument" can be for creating re-usable code. Instead of making a different callback function for each situation, you can usually adapt a low-level helper. The goal is to have your custom logic bundling a verb and two nouns, with minimal boilerplate.

Admittedly, arrow functions have eliminated a lot of the "code golf" advantages of generic pure functions, but the semantic and consistency advantages remain.

I always add "use strict" to helpers to provide native [].map() compatibility when passing primitives. Otherwise, they are coerced into objects, which usually still works, but it's faster and safer to be type-specific.