What are Next-to-Leading-Order (NLO) corrections? I'm currently studying Particle Physics and HEP and this acronym is omnipresent. I know it means next-to-leading-order but, what is exactly the physical meaning of LO and NLO?
 A: You say you know about Feynman diagrams, at least at tree level. So you might have seen loop diagrams, i.e. diagrams that contain a loop of internal lines (see e.g. https://en.wikipedia.org/wiki/One-loop_Feynman_diagram). 
Now, the whole point of Feynman diagrams is to expand the phyisical quantity we are interested in as a power series, $$\sigma= a_0 + \alpha\cdot a_1 + \alpha^2 \cdot a_2 +\dotsm$$
For this to make sense, the expansion parameter $\alpha$, which usually is (related to) some coupling constant, needs to be small -- for example, in QED, $\alpha\approx 1/137$. Then, the higher-order terms, i.e. those with higher powers of $\alpha$, are suppressed, and the lower-order terms dominate (note that I'm glossing over quite a number of issues here to get the basic picture across).
In other words, the lowest-power of $\alpha$ with a nonzero term $a_i$ gives the most important contribution, called leading order, and the other ones are higher-order. In particular, the next one is the next-to-leading order (NLO), contribution and so on (for example, this paper computes NNNNLO contributions: https://arxiv.org/abs/hep-ph/0610143).
This notation is used in other fields as well: Whenever you have a approximation scheme with a most important term and successively smaller corrections, it makes sense to speak of leading-order, NLO etc.
