A snuff film is when one of the actors is actually murdered as part of the film. Naturally the actor doesn't know he's going to be killed.
There were lots of rumors about these films in the eighties, but I'm not sure it was ever proven that any really existed. I don't recall any arrests or trials in connection with any of them, anyway.
They do exist, the Daniel Pearl video (where his throat is cut by his Muslim captors) being the most famous example. The ones I know about are mostly Muslims videotaping themselves as they kill Russian prisoners in Chechnia.