An inlay is a type of filling made in the laboratory. They have been made from gold for many years however more recently they have been fabricated from high strength porcelain materials.
Gold inlays are the strongest type of filling and this is sometimes important.
Porcelain inlays again are very strong (although not as strong as gold) and can sometimes be used in situations where a conventional white filling cannot be used. They are very aesthetic and can make a heavily filled tooth look like new again.
They do however take two visits to complete and since they are made in a laboratory they are considerably more expensive than the more usual type of filling.