General relativity (related to gravity) is used for describing very massive / large objects. Quantum mechanics is used for describing very small objects. Both theories are extremely well tested, however when you try to apply them to say, very massive and very small objects (like conditions at the very early universe), they break down. When we say "quantum gravity" we are looking for a theory that will "unite" quantum mechanics and general relativity. There are several candidates including:
Loop quantum gravity http://en.wikipedia.org/wiki/Loop_quantum_gravity
String theory http://en.wikipedia.org/wiki/String_theory
M theory http://en.wikipedia.org/wiki/M-theory
See also: http://en.wikipedia.org/wiki/Quantum_gravity