I was asked this question recently and best I can tell, Sway is like an online presentation system. Unlike PowerPoint, where you need a specific piece of software to play the presentation, Sway handles it all online for you.
Sway uses a card system, much like story boarding a movie, and you can embed all kinds of media in there including YouTube videos, Flickr photos, Google maps, and more. People make newsletters with it, or tutorials.
In doing my research, I came across Microsoft’s Sway YouTube Channel, and I posted the link in the learning resource site as well. I hope this helps you in your discovery of this new way of sharing information.