You're probably reading about website optimization, in which case you'll hear about (mainly) two types of "calls)
- Database queries (WordPress tends to be overly heavy on these)
HTTP requests are usually the biggest hit, which is why CSS sprites are so popular now. Basically, each time you include an image on your page (even if it's on your own server) consider it to be the same as opening a second web page. The time to load isn't the same, but the principal is. The server has to fetch the content and send it to the user. Only so many elements can be loaded at once, so the more image/JS/CSS files you have, the longer the page takes to load.
DB queries are typically bogged down in the transmission. A query requires PHP to send the request to MySQL, MySQL to generate the results, and the results to make it back to PHP. It actually doesn't take terribly long for MySQL to execute a query, it's that latency between the two servers that gets ya. It's important when writing custom queries to consolidate them as much as possible to prevent repeatedly pinging the MySQL server.
How do you evaluate? Use a plug-in like ySlow (Chrome or Firefox) to see how your site is graded. It's a pretty good indicator of how you're doing as far as speed optimization.