A Demo Disk is a CD that comes as a magazine insert in various gaming publications. It usually contains demos of upcoming games (hence the name), movies for games, cheats, and news (usually for PC demo disks only).
People have often raised the question that if there are demo disks now, how come there were no demo cartridges back in the days of the SNES or the Sega Genesis? Here's why: It's cheaper to replicate the demo disk than it is to produce the actual magazine. Cartridges, on the other hand, are rather expensive and it would cost the publishers of such a magazine a bundle to include one.