In baseball, this term refers to a ball hit into fair territory; it is also known as a "live" ball. The opposite of this would be out of play, of a "dead" ball. In baseball, the baseball diamond is divided into fair and foul territories. Only the space between the first and third base lines, which double as foul lines, is considered fair. Therefore, only balls hit between the first and third base lines are considered in play.
Hitting the ball into fair territory is the primary job of every hitter that comes up to bat. Keeping the ball in play, however, is not always their primary objective. There is a very specific case, a home run, where keeping the ball in play is contrary to what the player wants to do. A ball hit over the outfield fence is not in play as soon as it crosses the boundary of the wall, though it is in fair territory.