A domain of unknown function (DUF) is a protein domain ( i.e. region of a protein's polypeptide chain that is self-stabilizing and folds independently from the rest.) that has not as yet had its function described.
Because the domains are appear in very many proteins which have been studied (across a very wide range of organisms), it's assumed that a proportion might have important, as yet unknown functions.
Nearly 4,000 have so far been discovered.
See : Wikipedia