Big Oh Notation Explained: What Does x = x_0 + \mathcal{O}(y) Mean?

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AxiomOfChoice
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Can someone please explain what it means to say something like
[tex] x = x_0 + \mathcal{O}(y)[/tex]
?
 
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[itex]\cos x = 1 + O(x^2)[/itex] as [itex]x \to 0[/itex] means:
[tex]\frac{\cos x - 1}{x^2}[/tex]
is bounded in some neighborhood of [itex]0[/itex] .