A term first popularized by Id's Quake but also used in their grand daddy of games, Doom, albeit not as popular as the former.
It involves using an explosion, usually caused by a rocket from a rocket launcher but other's also include sticky jumping from Demoman from Team Fortress 2, and use it to propel the user with great momentum either towards the sky or to a point quickly.
The most prominent user of rocket jumping is Soldier which in game encourages the player to learn rocket jumping to get to points where are regarded as impossible to be on or get to it quickly.