Waypoints are a way of setting a specific path for a unit or set of units to take when going from one location to another without relying solely on the Myth pathfinding.
Selecting a unit(or units) then option-clicking on the ground creates 'waypoints', a final regular click sets the final destination. Unit(s) will go from their starting point to the first waypoint, then to the second, etc until they reach the final destination. Up to 3 waypoints can be set for each movement.
Selecting waypoints can reduce the likelihood of units clumping or getting stuck.