dselect is debian's interface to dpkg. Predating Apt, it could search CD-ROMs, FTP sites, websites, and other sources for appropriately structured package files, and allowed the user to select which packages they wanted to install. Now that Apt exists, it is usually configured as a front-end to Apt.
Using dselect is a bit awkward at first. There are numbered steps on the main screen, but most people will never use any steps but 1 (Update), 2 (Select) and 3 (Install). These are run in order. Update will use Apt to fetch the current list of available packages. Select shows you a list of all the packages, which packages are new, and which packages have been installed. Install uses Apt to install the packages you have selected and to uninstall the packages you want removed.
The part that is difficult for many people is the Selection process. Navigating the selection process is easy, but underdocumented. The key is to remember that / searches, and \ repeats the search. + adds a package, - removes a package. the = key will mark a package as held. A lot of information is crammed into columns that are often too small to display everything, and the packages are not necessarially intuitively ordered, making many people dislike this program (especially since there are around 10,000-15,000 packages to wade through).
So why use dselect? If you choose to install a package that requires other packages, you will get a new screen listing those packages. At this point, you can press x to back up without installing any of those packages, or enter to select those other packages as well. It will also let you know if there are options available in what to install, something Apt does not handle well. (For instance, if you don't have a mailserver, and you install something that requires a mailserver, dselect will give you a list of mailservers to choose from.) Also, if you aren't sure what the name of the package is, you can try searching for it in dselect.
When you are done with the selection process, press Enter to save your package list, or x to exit without installing or removing anything.
See Apt#Other Debian package managers for a list of alternatives to dselect.