A sidebar is an area in which it is possible to insert widgets. It can also be called a widget area.
As a rule, it is located in the right-hand column. However, some themes may offer several sidebars. For example, in the left column, where it is also possible to have one on each side of the main content.
Sidebars play an important role in the layout design of a WordPress site. To customize them, go to the menu Appearance > Widgets.
To learn more about widgets, you can check out The Complete Guide to WordPress widgets.