Sex linkage refers to a trait which is coded for by a gene on a sex chromosome, in mammals these are the X and Y chromosomes. As males are XY and females XX, alleles on these chromosomes have different probabilities to be expressed in the phenotype between the sexes.
An example is colour blindness in male humans, this trait is caused by a recessive allele carried on the X chromosome. As females have 2 X chromosomes they are far less likely to be colour blind than males as they must get 2 copies of the recessive allele for it to be expressed in the phenotype. As males only have one X chromosome, however, they need only have one copy of the allele to express colour blindness.
Other examples include Haemophilia and orange coat colour in cats.