Autoloading is a mechanism that eliminates the need to manually require dependencies within your PHP code. Per » the PHP autoload manual, once an autoloader has been defined, it "is automatically called in case you are trying to use a class or an interface which hasn't been defined yet."
Using autoloading, you do not need to worry about where a class exists in your project. With well-defined autoloaders, you do not need to worry about where a class file is relative to the current class file; you simply use the class, and the autoloader will perform the file lookup.
Additionally, autoloading, because it defers loading to the last possible moment and ensures that a match only has to occur once, can be a huge performance boost -- particularly if you take the time to strip out require_once() calls before you move to deployment.
Zend Framework encourages the use of autoloading, and provides several tools to provide autoloading of both library code as well as application code. This tutorial covers these tools, as well as how to use them effectively.