Privileges are rights that an account has to perform specific system-related tasks. These tasks can be as simple as the privilege to shut down the machine up to privileges to bypass some DACL-based access controls.
Each user has a set of assigned privileges that can be checked with the following command:
whoami /priv
A complete list of available privileges on Windows systems is available here. From an attacker's standpoint, only those privileges that allow us to escalate in the system are of interest. You can find a comprehensive list of exploitable privileges on the Priv2Admin Github project.