A wash can be made out of anything you might apply to your model, be it normal paint, a pure pigment colour (such as Mig pigments), an ink, a glaze or one of the GW washes. Simply put, you water down whichever medium you're using so that it's very runny and when you apply it to the model the water will pool, pulling the colour to the recesses. It's a quick, easy way to get some shadows to your model.
You can add products to the solution such as matt medium to turn the wash into a glaze - this is a semi translucent layer added to the model which pools more towards recesses but has body enough to carry pigment to raised areas as well. This can create a quick and easy appearance of a blend on the model because of the uneven way that pigment is carried. Ironically, I would say that the GW "Wash" is actually closer to a glaze in it's nature.
You can also add PVA glue to the solution which contracts as it dries. If you add a large amount of PVA glue you get a solution fairly similar to the GW Wash and when it dries will bring the pigment to the recesses because of the shrinkage that occurs. If you apply it liberally you tend to get quick and easy depth of shadow similar to a glaze rather than a wash (a simple wash can leave "tide marks" - a darker line of pigment where it originally rested, and generally doesn't have a very smooth transition between the two colours, whereas because of the chemicals in a glaze it lends towards a smoother blend created as it dries). If you apply it sparingly and to precise areas it can be used for very crisp and effective black-lining.
Washes and glazes are excellent for bulk painting of army pieces. They're not so widely useful for display pieces because the wash will respond to gravity, which on a model rarely accurately reflects the way light would fall. If you're using a wash or a glaze within more detailed work, apply it to precise areas (such as if you're washing armour, apply it just to undersides and areas where shadow would fall. If you're washing cloth, apply it just to crevices and usually, I'll hold the model upside down so that gravity will help to pull the wash to where I want it) and don't paint over highlights where you've already got the colour that you want.