Filter media are the materials inside a filter — sponges, ceramic rings, floss and sometimes carbon — that trap debris and provide the huge surface area beneficial bacteria live on.
Biomedia (sponges, ceramic rings) is where most of your cycle lives, so replace it gradually and rarely; swapping all of it at once removes your bacteria. Rinse it in old tank water, never tap water.
Filter floss polishes the water and can be replaced freely; chemical media like carbon is optional and mainly used to remove medication or tannins.