I've never done it, but I understand the theory. Basically, you take a varnish/lacquer of some kind, and, well, dip the already-basecoated model in it, usually dangling it upside down.
Then, if I remember right, you "spin" it, usually by a pin attached to its foot and put in the chuck of a drill or dremel or... something, to get the excess off.
The result is an overall shading of a base coat, and a shiny, glossy finish. Experienced painters with time and patience tend to pooh-pooh this as a sloppy, way-too-easy way to do it, that compromises detail for laziniess, using household lacquer that was never meant to be put on miniatures. Advocates argue it's a good way to put a not-too-shabby finish on large hordes of models.
I've never seen a dipped model in person, only in pictures. They look fine to me, I guess, but I'll stick with painting the "hard" way. If you really want to learn more, do a search of the forums or check the stickied tutorial links, and you'll find more in-depth discussions.