When the fitness associated with possessing two different alleles at a single locus is greater than possessing two identical alleles at that same locus.
That is, with heterozygous advantage a heterozygote is more fit than either of the associated homozygotes. See also balancing selection, hybrid vigor, and overdominance as well as balanced polymorphism.
The alternative perspective on heterozygous advantage is when alleles are deleterious (relatively speaking) when found in the homozygous rather than heterozygous state. Indeed, heterozygous advantage is when both homozygotes display deleterious phenotypes in comparison to the corresponding heterozygote.
The classic case of heterozygous advantage is that seen in association with sickle-cell disease.