Many of the gases that occur in the Earth's atmosphere are 'greenhouse gases' or GHGs. They include carbon dioxide, methane and water vapour. Greenhouse gases occur both naturally and due to human activities.
A greenhouse gas is one that traps heat radiated from the surface of the earth. The term comes from the fact that these gases act a little like a greenhouse to limit the loss of heat from a system. Actually the term 'greenhouse effect' is a little misleading. Greenhouses (glasshouses) warm up primarily because the glass reduces airflow so that convective cooling is reduced, whereas greenhouse gases trap radiated heat from the earth's surface and re-radiate it.