Locking and unlocking usually means whether or not the CPU can be run at a higher speed - specifically more clock pulses per second ("overclocking") and therefore more operations carried out each second. Unlocked CPUs cannot be overclocked and run at higher speeds - unlocked CPUs can. While it may seem to be a great idea to speed up an unlocked CPU (faster gaming, impress your friends, etc), the motherboard and other chipsets in your system may not support the higher speed rating and there can be issues with overheating.