Configuration and profiles
Configuration refers to the default behaviour of a site (for instance, whether you allow people to sign up to your site, or how dates are displayed). You're likely to want some of this behaviour to be embedded in your theme.
There is also some overlap between Components, Skins, and Configuration. For instance, the order of skin layers and the order in which viewlets appear within a viewlet manager are considered aspects of configuration.
A profile is a set of configuration files. Each file is written in fairly simple XML and refers to a particular group of components or page elements. There are two different types of profile, base profiles and extension profiles. For theme purposes you will only ever need to use an extension profile (i.e., a profile that extends the configuration of an existing site).
A profile comes into being when it is wired up by ZCML. Here's the version created by the plone3_theme paster template:
title="[your skin name]"
description='Extension profile for the "[your skin name]" Plone theme.'
You'll see that it points at a directory for the location of the XML files and indicates that it is an extension profile by using an interface.