Firmware is software that is embedded in hardware. You can update your firmware in most GPS receivers. Firmware updates are frequently issued by the manufacturer to fix bugs and add new capabilities to your unit. For example, here is the change history for the Garmin 60CSx.
I recommend that you always install the most recent non-beta firmware upgrade. Garmin has made the whole process a little easier recently with their WebUpdater feature.
Here are lists of current firmware versions for Garmin and Magellan GPS receivers.