We call it a widget, you might call it a gadget or an application. Using widgets you can customize various sections of your site, every theme comes with its own set of widgets to choose from.
To manage widgets, simply login to the admin console and go to the ‘Appearance’ -> ‘Widgets’ from the left menu. To add a widget to your site, drag it on the right side or click on ‘Add’.

To see it in action, have a look at this video Themes Overview.