From LQWiki

Slave is one of two main settings for a hard disk. The other being Master. If you are building a computer you can set hard drives to be master, slave plus a few others depending on hard drive type (like cable select). These are selected by putting a jumper in certain positions (or sometimes removing the jumper). This depends on the hard drive though, but is normally written near the jumpers on the back of the hard drive.

If you have a single IDE cable, with two hard drives on it one must be set to master and one to slave. The master is the first or primary hard drive and the slave is the second or secondary. The reason they primary and secondary are not used is that most computers have two IDE cables for hard drives and they are known as the primary and secondary. So if you have four hard drives then you have a primary master, primary slave, secondary master and secondary slave.

Originally you could only boot off the primary master, however nowadays you can boot off almost any hard drive (although the boot loader still needs to be on the primary master). Also, when CD burners first came out they were very picky about where they had to do. You had to put them on the 'other' IDE cable from where you were copying the CD from. So if you were copying CD to CD you had to set them up as primary slave (primary master being the boot HD) and secondary master (if you had no other hard drive). Nowadays as computers are much faster this is no longer an issue.

If you have two hard drives which are used more then the CD drives, then you can gain some speed by putting them as primary master and secondary slave because then each IDE cable can run all the information between each hard drive and the rest of the computer. If they are both on the same IDE cable then its speed is split between the two drives. This of course depends on exactly what you are doing on both hard drives, but if you are setting up a PC and put the OS on primary master and the swap file or user file area on secondary master that can increase speed (slightly).

The exact setup of primary master, primary slave, secondary master and secondary slave can be a contentious issue though sometimes with many different views on how to do it. This is a lot less of an issue now with faster computers though. Simply put, depending on your computer you may want a different setup for your masters and slaves.