A Song of Ice and Fire: "Honour through Blood!"
The title Lord confers a level of status above almost all other people in the land of Westeros. The only figures above the station of Lord are the Royal Family and, especially, the King (who himself is simply an unopposed Lord).
Whilst the title confers a level of respect and status, it also demands a lot of responcibility. The House to which the Lord belongs is under his control and lives and dies based on his decisions and actions. As such, Lords have the final say on matters of law and policy within their lands and are indesputable (even by other Lords, but except for the King). This being said, during war, few laws are upheld or recognised, so ultimately it is the strength of ones House that determines a Lords power.
The title of Lord is hereditory and is customarily passed to the eldest true-born son of the Lord once he dies (or is, for some reason, removed). The title cannot pass to women, no matter their order of birth.