The Julia set is related to nonlinear dynamics or chaos theory.
in a moving system there is a notion of something called an attractor. A simple example might be a pendulum - give it a push and it comes back to a single point - the attractor.
Now lets take a more complex example - imagine a pendulum that has a magnetic bob and 3 magnets equally spaced underneath. like this:
http://vimeo.com/5954067
Which magnet will it end up over - it depends where it starts.
Draw a map - mark each starting position for the magnet it ends up over red for one, blue for the second, yellow for the third.
What you find is that the picture is infinitetly complex. The attractor now is not a point but a "fractal" a shape with non integer dimensions.
The motion is chaotic and to predict where it will end you need to know where it started from with infinite accuracy.
The Julia set and the mandelbrot sets are both shapes like the map of the magnetic pendulum.
Mathematically they are derived by doing specific calculations with complex numbers over and over again for each point.
Hope this helps it's about as simple as I can make it