Focus fire is a technique in which a player orders a group of units to attack a single target. Right-click on a target to tell the group to attack. Hold shift and continue right-clicking to queue up a sequence of targets. Most often used with ranged units, because focusing all their damage on one target at a time rather then spreading it out usually will cause groups of enemies to die faster and thus have fewer attacks. In equal battles of ranged units, the player who focus fires and dances better usually wins.
Dancing can eliminate much of the benefits of focus firing.
Overkill is also a bad use of focus firing. Ten siege tanks should not focus fire on ten dragoons, because they fire slowly and only a few shots are necessary. Since the rest of the shots are wasted and take a long time to cooldown, focus firing would actually let the dragoon win what is normally a lopsided battle. In these situations, attack move or manually spreading the attacks would be better.
Focus firing is advised for usage on units like reavers, high templar, arbiters, ghosts, medics, queens, defilers, science vessels, dark archons, and so forth. These units can turn the tide of battle and so should be killed quickly before the player can make full use of their abilities. If the player is fighting with cloaked units, focus fire should be used on any enemy detectors accompanying the attack force to allow the cloaked units to fight without being seen. In the event the player's units are losing a battle, focus fire on a few enemy targets can help maximize overall damage by killing one or two units rather than spreading the damage out, especially if the player is able to eliminate a costly support unit like those above.