Either the backing track of what someone else has played, or in some cases a finished instrumental backing track. Often on 'a capella' versions you can hear the music leaking through the singer's headphones.
They often like it loud, as Freddie says in 'My Baby Does Me': "Turn it up a bit please". I believe he must have said this whilst recording his vocals and they left it in the mix because it sounded cool :)
GreatKingSam wrote: A rough mix of the song perhaps, to help them on their way (with the ability to be told things by whoever is behind the mixing desk)...
Yeah, because in greatest hits 2 in the making of "one vision" in the studios Roger is doing a tune on the drums and then he replies "yeah ok got it!" and he has those headphones on.