Sockets are an API for IPC or network communication with a process. For IPC Unix domain sockets are used, for network communication INET sockets are preferred. Sockets provide a descriptor to a process with which data or control data can be exchanged with the kernel.
Unix domain sockets
When a Unix domain socket is set up it is bound to the local systems filesystem. The path it can be bound to is limited to 103 characters (see /usr/include/sys/un.h) instead of the filesystem limit of 1023 characters. This means that a socket should be set up close to the root perhaps in /tmp (as sshd does). Unix domain sockets make preferred IPC in OpenBSD because of the availability of the getpeereid syscall which allows a daemon to check the credentials of who is connecting to the socket. A socket in the filesystem looks like this:
$ ls -l /tmp/ssh* total 0 srwxr-xr-x 1 pbug wheel 0 Oct 8 11:27 agent.1327
notice the 's' indicating that this file is a socket.