An event horizon is a "sphere-shaped surface of influence" of inescapable gravity from/towards the black hole. It is the point where the object (victim?) cannot overcome the gravity of the black hole, and will be sucked into it. This is also the point where, theoretically, you would vanish to an outside observer, since the light crossing the event horizon also will not escape to bounce back to the observer.
There is not one particular location/altitude for an event horizon, it depends on the size and mass of the black hole. The more the mass, the more the gravity, thus a larger event horizon.
Wikipedia has a nice writeup about them, although this article is more about event horizons in general, not just for black holes.
Edit: I use the term "Sphere of Influence" loosely -- you would enter the sphere of influence (meaning your motion would be affected by the black hole's gravity) before you would cross the event horizon -- you could return from the SOI, but you couldn't return once past the event horizon.