With the recent announcement that Grand Theft Auto: San Andreas has "gone gold," I thought I would shed some light on what the term even means. This is the process to the best of my knowledge, and if I get something wrong, just comment and I'll fix it.
First, the game is fully developed, and (hopefully) bug-tested. When this game is dumped onto the developer's computer, they use the most reliable form of storage to store these priceless files. This storage is the Digital Tape, which was once mega-popular, and now can hold 200 gigs of data and more, which makes it ideal for the developer. These tapes are transported, under very heavy security, to a representative for the publisher. The publisher then gives these to what I'll call "game dumpers," who transfer the digital tapes onto another master computer in the publication center.
Next, the computer makes a DVD-ROM image of the game, and makes several backup copies, probably to more digital tapes, several hard-drives, and partitioned to CD-ROMS.
Finally, this image is used to burn millions of copies of the game, and in the same building, the manuals and cases are also being printed up. After a period of 2-4 weeks, enough copies are printed of everything to release the game initially, and then copies are continuously printed to keep up with demand for the game.
Hope that enlightened some people, and I know I did not get some of the details exactly right, so if anyone knows them better, just comment and I'll change it.