It stands for USB on the go. It is the ability of the phone to act as USB host. So that you can connect a USB flash drive, keyboard, or mouse... to the phone.
Hahaha I am a bit late on this one, but all aspects of USB OTG are functional on the Desire X w/ stock and some custom roms. This includes storage, keyboard/mouse, gamepads and much much more. Works flawlessly, and better than the Nexus 7 2013 on Stock can manage (no usb storage support!) One of the reasons I switched to CM 11 on my Nexus.
The thing is, USB OTG works only from Android version 4.1 and newer. 4.0 has no OTG support.
How come when I try to connect a ps3 controller it doesn't work but USB storage does work.
Sent from my HTC Desire X using xda app-developers app