Under the gun is a position in poker in which the player has to act first pre-flop and is located directly to the left of the big blind.
This is considered the worst position at the table since this player has to decide without seeing anyone else act before him. In addition, he has 8 more players to act after him in a full-ring game and 5 players in 6-max games, increasing the odds of someone having a strong hand.
For example, if you are playing in an aggressive game and sitting UTG, you might have to fold some strong hands as ATo and similar holdings that you might play from other positions.