The saddles are the pieces of the bridge that hold the strings in place, raises them above the bridge and angles them for playing.
On electic guitars they are normally made out of metal and can be adjusted. There can either be individual saddles for each string or strings can share a saddle.
On acoustic guitars they are either made out of bone or plastic and often, cannot be adjusted.
Adjusting the saddles will raise or lower the action on hardtail or classic tremolo designed bridges.