Mostly it's just an overrated Off-Road package, in the F-series trucks it gets you skid plates and Rancho-branded (Re: Ford shocks with Rancho logos on them). In the F-150 is a separate trim level, it has some unique interior bits, the afore mentioned skid plates and shocks, and in the 2009-up models an E-locker for the rear axle.
The Ranger FX4 and the later FX4 Level II models actually got some useful off-roading gear, they came with 31 inch BFG All-Terrain tires standard, a Alcoa wheels standard, 4.10 gears standard, and a Torsen limited slip rear axle standard.
Basically in the pre-09 F-150 it doesn't mean much, in the Super Duties it doesn't mean much, but in the Ranger it does mean something