Linked Data is a set of guidelines and methods than enable to connect portions of data online in a useful and meaningful manner. It is built upon existing Web technologies such as HTTP or URI and extends them in such a way that the conveyed information is not only human-readable, but can also be analyzed and processed by computers themselves.
This becomes possible by assigning objects with not only properties, but also relationships that interlink them. As a result, data is no longer static and fixed, but can be used in machine reasoning to uncover new dependencies, facilitate data discovery, accelerate processes of organization of massive amounts of information etc.
The term was coined by Tim Berners-Lee, one of the authors of the concept of the Semantic Web. The relationship between the two ideas is explained as Linked Data being the constituting elements, while the Semantic Web is the structure as a whole.
Watch Tim Berners-Lee speak about Linked Data and how it will reshape the Internet at the 2009 TED conference: http://blog.ted.com/2009/03/13/tim_berners_lee_web/