Preload is the spring tension you put on the shock when not under load. More preload (more compression of the the spring) is used as weight or leverage increases. More gives you a stiffer ride but leaves you with less travel to work with. Less will give you a softer ride and more travel left.
Many shock companies will sell you a set of zero-preload shocks or set yours up for it, leaving you with a lower ride height and a more plush ride.
I have a lot of preload in mine because they are still OEM valved for the yfz but I'm using them with wider a-arms, a larger rider, and a heavier machine. Without this preload I'd be bottoming out more often.