An em dash is a typesetting term that means a dash that is the approximate length of the width of the letter m in the font being used (there is also an en dash that is the width of the letter n). Grammatically there is a difference in the use of a hyphen and an em dash. The em dash is used to set aside a phrase and the en dash is used to show span of time (1965–1967 or 8:00–9:00).
This is an example of a hyphen-between two words.
This is an example of an em dash—between two words.
Back in the days of using typewriters I was taught to use two hypens together to approximate the effect so it looked like this–two hyphens instead. Sometimes people used a single hyphen with space on either side so it looked like this – space on either side.
It’s one of those nit-picky things that you never think about until you work to publish a book—and now you’ll notice it used correctly (and incorrectly) in books you read.