After reading the questions, What are the D&D Adventure Paths? and Which Paizo Adventure Path most lends itself to 4e conversion?, I began to wonder about this term beyond what is self evident. A Google search and the Wikipedia article did not provide much more detail.
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An adventure path is a series of linked modules designed to take an adventuring party from the beginning of their careers to reasonably high level. So far, they've primarily been written for Dungeons & Dragons, although there's nothing inherently D&Dish about the concept. Generally, they have strong thematic and plot links.
As one might guess, they cater more towards people who want strong storylines. This can, depending on one's personal tastes, come too close to being a railroad. A 2010 Paizo adventure path, Kingmaker, deliberately attempted to provide a sandbox adventure path experience, but I can't speak to how successful it was.
Individual components of an adventure path are usually released on a monthly or bi-monthly basis. The first modern adventure path was the Shackled City, which was published in Dungeon; this set the paradigm for others. From a marketing perspective, they encourage subscription-oriented behavior on the part of the purchaser. While Paizo does not sell adventure paths in magazine format any more, they do use a subscription model for selling them: commit to the regular purchase and get a discount.