I think they are long chain fatty acids that used to contain double bonds (so called unsaturated fatty acids) but have been "hydrogenated" to form saturated fatty acids. IE the C=C double bonds are replaced with C-H bonds.
In simple language, they have been altered to have more hydrogen in the molecules of oil, thus making the oil more "saturated" with hydrogen. Saturated oils are better taste-wise and texture-wise for frying and baking, but they are worse for you.
Hydrogenated oil is also known as trans fats. With saturated fats your body treats them differently to unsaturated fats which it uses for "cell building". With hydrogenated fats it gets confused and tries to use it for cell building, hence they clog up your arteries worse than saturated fat. Here is a link about how bad they are http://www.bantransfats.com/brits.htm