A Cavity wall is made of 2 distinct or separate walls with a gap or 'cavity' between them. The gap is typically around 10cm.
The purpose of the cavity is to allow water sucked or drawn in by the water absorbency of typical building materials e.g. Brick or Breeze Blocks to drain away at the base of the wall.
Cavity walls provide better insulation for both sound and heat and are naturally more expensive to construct than a single skin wall.
The cavity between the two walls provides some degree of insulation. However, with a view to improving insulation the cavity is commonly retro filled with insulating material.