A higher efficiency PSU loses less power in converting AC power (from the wall) into DC power (for your components). If a PSU's efficiency is 80%, it loses 20% in the process, which is basically power you're paying for but not putting to use.
High efficiency power supplies are also cooler and quieter. You can sort by 80+ in Newegg, meaning power supplies that are certified 80% efficiency or higher, which is the cutoff for "high efficiency".
