From Unicode FAQ:
Q: What are surrogates?
A: Surrogates are code points from two special ranges of Unicode values, reserved for use as the leading, and trailing values of paired code units in UTF-16. Leading, also called high, surrogates are from D80016 to DBFF16, and trailing, or low, surrogates are from DC0016 to DFFF16. They are called surrogates, since they do not represent characters directly, but only as a pair.
Basically, surrogates are codepoints that are reserved for special purposes and promised to never encode a character on their own but always as a first codepoint in a pair of UTF-16 encoding.
[UPD] Also, from wikipedia:
The Unicode standard permanently reserves these code point values for UTF-16 encoding of the high and low surrogates, and they will never be assigned a character, so there should be no reason to encode them. The official Unicode standard says that no UTF forms, including UTF-16, can encode these code points.
However UCS-2, UTF-8, and UTF-32 can encode these code points in trivial and obvious ways, and large amounts of software does so even though the standard states that such arrangements should be treated as encoding errors. It is possible to unambiguously encode them in UTF-16 by using a code unit equal to the code point, as long as no sequence of two code units can be interpreted as a legal surrogate pair (that is, as long as a high surrogate is never followed by a low surrogate). The majority of UTF-16 encoder and decoder implementations translate between encodings as though this were the case[citation needed] and Windows allows such sequences in filenames.