It started on Something Awful. People would play through a video game while taking notes and pictures and post the results in the forums. Known as Let's Play these are not walkthroughs in the traditional sense.
A traditional walkthrough, as exemplified by Game FAQs, is a document that tells you step by step how to complete a video game. It tells you the tricks, points out the traps, and is told from the point of view of one gamer helping another. Want to know how to get past a tricky section? Read the walkthrough. Want to know how to get the ultimate magic sword? Read the walkthrough.
Want to be told the story of the video game instead of the steps needed to beat it outright? Potentially with running commentary by the author? Then a Let's Play is for you.
Since the Something Awful forums have a reputation for holding on to precious historic content with all tends to suggest the admins would hav brought matches to the Library of Alexandria others have taken on the job of archiving and maintaining the list of "Let's Plays". Thus the Let's Play Archive was born. Collected here are text Let's Plays and video Let's Plays. Yes... you not only can read along but in some cases watch as someone plays a video game for you.
Don't let that fool you though. Yes... some of them are pretty bland descriptions of playing the game. Many do explore the game and its world in detail. There can be interesting running commentary while the game is being described.
There is also a few places where the Let's Play has a life of its own and becomes a truly memorable event above and beyond the game in question. Case in point is the tale of horror that is The Terrible Secret of Animal Crossing. You'll never look at a fun little game quite the same way ever again.