Speed is how fast a unit can travel across battlefield. Often smaller units have higher speed than heavy and tanky ones. The ability to move units fast across the battlefield gives advantage of always being in the right place at the right time. With fast units you can quickly eliminate backdoor capping companies, like pathfinders. With some micro, speedy units can also easily escape from artillery shells without getting hit.
Speed can be affected by various factors, such as slows and speed buffs. The only ability which gives speed buff is Rolling Thunder.