A bookmark lookup is the process of finding the actual data in the SQL table, based on an entry found in a non-clustered index.
When you search for a value in a non-clustered index, and your query needs more fields than are part of the index leaf node (all the index fields, plus any possible INCLUDE columns), then SQL Server needs to go retrieve the actual data page(s) - that's what's called a bookmark lookup.
In some cases, that's really the only way to go - only if your query would require just one more field (not a whole bunch of 'em), it might be a good idea to INCLUDE that field in the non-clustered index. In that case, the leaf-level node of the non-clustered index would contain all fields needed to satisfy your query (a "covering" index), and thus a bookmark lookup wouldn't be necessary anymore.
Marc
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