WIMP (or weakly interacting massive particle) is the name given to a possible subatomic particle that constitutes dark matter. (Massive is used only to mean it has some mass, a requirement for it to constitute dark matter.) It would have to be a particle not affecting electromagnetic radiation and therefore invisible and have sufficient mass to create the effects that motivate the dark matter concept. Discovery of candidate particles in accelerators or through detection would comprise evidence for their existence.
The term WIMP is often used generically, to refer to any particle that fits the above description. It could be an as-yet unknown subatomic particle or could be a known particle with such characteristics, such as the neutrino, if the numbers and the mass were sufficient. The term WIMP is also sometimes used specifically meaning a neutralino, a theorized particle as part of supersymmetric models: there have been reasons to believe such a particle would have the necessary mass and numbers.
An alternative idea is that dark matter consists of larger objects, the term being used for this is MACHO. A term for a variant on the WIMP notion is GIMP for gravitationally-interacting massive particle (GIMP), a massive particle without even weak interaction of any other kind.