What's a correlated subquery? My guess would be where you run a query to find a value from the database (e.g. query on session ID to find the user's name) then feed that value back in to another query (e.g. query on username to get the user's status in the game)
Spot on. Consider the following:
SELECT username, password, (SELECT MAX(id) FROM userlog WHERE username = users.username)
FROM users
The second select is correlated with the first via the username = users.username join. You can go nuts with these kinds of queries, correlating all over the show, but it does come with a performance cost.