From the pfSense WebGUI: Aliases act as placeholders for real hosts, networks or ports. They can be used to minimize the number of changes that have to be made if a host, network or port changes. You can enter the name of an alias instead of the host, network or port in all fields that have a red background. The alias will be resolved according to the list [on the Aliases page of the WebGUI]. If an alias cannot be resolved (e.g. because you deleted it), the corresponding element (e.g. filter/NAT/shaper rule) will be considered invalid and skipped.
The best example is for blocking a list of hosts considered "bad". If you were to add a rule for each host you wanted to block individually, your rules list would grow quite large. By adding all of these hosts to an alias, you only need one firewall rule.
Say you have three web servers in a DMZ, and want to allow HTTP, HTTPS, and FTP traffic to these servers. It can be accomplished with a single firewall rule and two aliases.
Click Save.
You now have a single firewall rule that would have otherwise taken 9 separate rules to accomplish!
(more details and possibly pictures to come)