It started as a new term from Microsoft to mean that it's a new eXPerience, as Simsy pointed out. However, it was a little over-used to create a marketting ploy. Office had a version called XP, and so did a couple of smaller programs produced my Microsoft.
Soon, other people started calling their software XP, too. This then spread to hardware (think AMD). This could have been due to compatability with and extra support for the Windows XP operating system, but also it was seen as "designed for Windows XP and is a must as it has XP in the title". This was a ploy to get more sales.
Now, Microsoft have won the game. Everytime the letters XP are applied to a product, people think it is designed for Windows XP or is the only thing you can use with it. I've had many people asking whether Windows XP is a good operating system, and then go on to say upgrading it must mean buying Office XP as well to replace their Office 2000 or whatever.
It's a psychological trick that worked well with most people.
But what it stands for? People like to give the X an "Extra" and the P "Performance", but there is no REAL meaning, just like what does U.N.C.L.E stand for in The Man From U.N.C.L.E?