From Traderpedia

Definition: An order to buy or sell which is not to be executed until the market price reaches the customer's defined price, known as the stop price. When this occurs, it becomes a limit order.

A stop order is used to sell below current market price or buy above it. A limit order is used to buy below current market price or sell above it.

A stop limit order is a combination of the two. Instead of setting just one price as the order trigger, there are two: the stop price and the limit price. The complete order behaves first as a stop order. When the stop price is triggered it becomes a limit.

[edit] Example

You are long Eamonns at 12. You place a stop limit to sell at 10 and 9.5 where 9.5 is the limit price and 10 the stop price. If Eamonn reaches 10 the stop will trigger, meaning you will sell at the best price available between 9.5 and 10.. The advantage is you will not get a bad fill (i.e. worse than 9.5) unless the market falls right through 9.5 without a trade having taken place, in which case you will not get filled at all - this is the disadvantage.