This was an older article related to transactions, so I will post for future readers. To clarify what Pat has said, transactions commit, or save, the value of many fields at one time. For instance if you were to change a business's phone number and address. Instead of updating the address and then updating the phone number (doing updates one at a time), you can make sure both are updated at the same time, or not at all.
Transactions are faster then performing single updates because they are written to a buffer in memory, rather than to the hard disk. The changes in the transaction buffer are written to disk when the CommitTrans is used, as compared to a forced disk write every time the Update method is used(support.microsoft.com/kb/q109830/).
Though this might be true, I really don't see much of an advantage, if any, with regards to the speed. I believe microsoft ran it's test on a 486/66 PC in 2003, but even testing using transactions with 400,000 records (something I don't expect to be done too often) only 2 seconds were saved on a P4 3.2. I suppose with faster machines, using transactions won't really affect speed, but should be used for the sole purpose of locking a record and updating data that should also be updated at the same time as other data (e.g., updating a date in addition to an order number and name of product).