Cavity walls consist of two 'skins' separated by a hollow space or wall cavity. The skins are commonly masonry such as brick or concrete block. Masonry is an absorbent material, and therefore will slowly draw rainwater or even humidity into the wall.
The cavity serves as a way to drain this water back out through weep holes at the base of the wall system. The cavity is initially empty but can be filled with insulation by various methods. Cavity walls are more time consuming -and therefore slightly more expensive- to build than walls with the two skins bonded together, but they provided better sound and heat insulation and most importantly, resistance to rain penetration.