A gravitational wave is a ripple in space-time caused by intense gravitational forces in space. Not to be confused with with a gravity wave, which is an oscillation (back and forth wavelike movement) between two substances of different densities. Ocean waves are an example of a gravity wave, whereas a gravitational wave is something much larger that occurs between stars, supernovae, planets, etc.
To read more about the differences between these two similar sounding names:
https://www.quora.com/What-is-the-difference-between-a-gravitational-wave-and-a-gravity-wave
http://www.livescience.com/53683-gravitational-waves-vs-gravity-waves-know-the-difference.html