It means what you think it means: bait for clicks. It's a link which entices you to click on it.
The "bait" comes in many shapes and sizes, but it is usually intentionally misleading and/or crassly provocative. Clicking will inevitably cause disappointment. Clickbait is usually created for money.
One common type is adverts and spam, such as you might find on a random website or in your Facebook feed. Such clickbait usually leads to a site which tries to sell you something or possibly extort you, by withholding the promised "bait". Typical examples include: a sexy picture which promises to show more; suggestive and intriguing captions, like "you won't believe what this hot girl did"; stories designed to inflame people, such as by playing on political passions, like "woman demands more benefits to pay for comfort eating"; and claimed weight loss methods or body building methods, often with some "weird easy trick".
The second main variety is headlines to media sites which make money from page views. Common offenders are Buzzfeed, and Gawker and its affiliated sites. The headlines are designed to cause maximum provocation or interest, but as a result are frequently extremely exaggerated or flat out lies, and the articles themselves are often just as shoddy.
Thanks for wasting my time with this lying clickbait, random Gawker editor. Congratulations, you've gotten your two cents out of me. Now off you go and spend it on your favourite brand of cheap gin - the one you swill at night as you silently shed tears whilst contemplating your miserable, tortured existence and failed journalism career.
police: so, where exactly did you get (piece of expensive software / movie / album / any and every type of modern media / gold bullion / etc.) from?
you: why, i 'acquired' it from a 'reputable' 'vendor', sir!
police: okay, move along