The third eye (also known as the inner eye) is a mystical and esoteric concept referring to a speculative invisible eye which provides perception beyond ordinary sight. In Theosophy it is related to the pineal gland. 

The third eye refers to the gate that leads to inner realms and spaces of higher consciousness or the ability which enables the human subconscious to be open towards the perception of it’s surrounding.

In certain dharmic spiritual traditions such as Hinduism, the third eye refers to the ajna, or brow, chakra.

Gate way that leads to inner realms: 

The third eye refers to the gate that leads to inner realms and spaces of higher consciousness. 

Through the third eye (pineal gland) human beings are able to dream, visualise, receive revelations, fantasise, use their creative inner imagination, receive or be affected by subliminal messages, prophecy and also be inspired by spiritual predictions and prophetic utterances.

It is also the part of the brain which is affected and influenced by the nocturnal frequency, environmental energies and the radio frequencies.

In New Age spirituality, the third eye often symbolizes a state of enlightenment or the evocation of mental images having deeply personal spiritual or psychological significance. 

The third eye is often associated with religious visions, clairvoyance, the ability to observe chakras and auras, precognition, and out-of-body experiences.

People who are claimed to have the capacity to utilize their third eyes are sometimes known as seers.

Article by Concious lifesyle, and part of it taken from wikipedia