A five-character code the Defense Logistics Agency assigns to your business the first time you register in SAM.gov. It identifies a specific business location, so a company with two addresses can end up holding two codes. Contracts, invoices, and award records all reference it, and you will be asked to supply it far more often than you will ever need to explain what the letters stand for.
In a sentence
"Offerors shall provide their CAGE code on the SF 1449." It is already on your SAM.gov entity record, so you are copying it onto the form, not applying for anything new.