A cookieless domain is a domain or subdomain that does not send request header cookies.
Excerpt from Google Page Speed site:
Static content, such as images, JS and CSS files, don’t need to be accompanied by cookies, as there is no user interaction with these resources. You can decrease request latency by serving static resources from a domain that doesn’t serve cookies. This technique is especially useful for pages referencing large volumes of rarely cached static content, such as frequently changing image thumbnails, or infrequently accessed image archives. We recommend this technique for any page that serves more than 5 static resources. (For pages that serve fewer resources than this, it’s not worth the cost of setting up an extra domain.)
