Orginally, phylacteries come from Jewish lore, and are small leather boxes, containing strips of parchment inscribed with quotations from the Hebrew Scriptures. Traditionally, a Jewish man will strap one to the forehead and the other to the left arm during morning worship, except on the Sabbath and holidays.
Recently, phylactieries have been used in Dungeons and Dragons to describe the object in which a lich keeps its soul. This prevents the lich from staying killed and allows it to regenerate a few days after it was slain. In order to permenantly destroy a lich, the phylactery (which doesn't have to look like a small box) must be destroyed.
J.K. Rowling also used this idea in "Harry Potter and the Half-Blood Prince," but decided to refer to it as a horcrux for some reason.
"Of course you didn't kill the lich properly - you didn't find its phylactery! Idoits!"