Hotlinking is linking to an image or file that is on another website instead of using a file on the local server.
Hotlinking is not recommended because anyone could change, vandalise, rename or delete a hotlinked file. When using Wikimedia Commons if a local file shares the same name with another, the other file might show on the page instead. There is no control over what is served locally.
When hotlinking, it is still necessary to follow any licensing conditions.
See also Wikipedia on Inline linking