A martyr, in the religious sense, is a person who willingly suffers death rather than renounce his or her religion. It originally meant "witness for God".
In most religions, becoming a martyr supposedly has some type of automatic reward - but of course, you will be dead. In Islam, for example, you are immediately entered into heaven, there to meet the infamous 72 virgins. Also, while not a requirement for Sainthood, a hugely disproportionate number of saints are martyrs.