You are behind something that blocks attacks, line of sight, or both. This can be either a solid object (such as a wall, statue, or a living creature), a mass of objects (such as a hedge, beaded curtain, or swarm of insects), or some sort of visual obscurement (such as a smokescreen, fog cloud, or an area of darkness).
Having Cover increases your odds of avoiding an attack. Half Cover grants a +2 Bonus to your saving throw against attacks, and Full Cover grants a +2 Bonus and Advantage on the saving throw. (See the individual rules for more details.)
If a creature of the same size as you or larger is directly between you and a target you are attacking, your target gains Half Cover from your attack. High Ground and other circumstances may allow you to ignore this, though, at your GM’s discretion.
You can use the Take Cover action to increase the degree of cover you’re benefitting from.
Concealment doesn’t grant you any outright protection, but it does give your attacker a chance to simply miss, regardless of how able you are to defend yourself.
Partial Concealment grants a 25% chance for your attacker to miss you (they have to succeed at a DC 6 Flat Check or they automatically Critically Miss)
Full Concealment means that your attacker simply cannot detect you. It automatically grants you the Hidden condition, which requires your attacker to make a DC 11 Flat Check to be able to hit you normally, if it knows where you are in the first place.