What it means
If the best level doesn't have enough size, the order keeps filling at worse prices. That difference is slippage.
In practice
Use a market order when being in or out matters more than the exact price: exiting a trade that has gone wrong, or entering a liquid market where the spread is a tick wide. Most stop-losses become market orders when triggered.
In deep markets during busy hours the fill is usually at or next to the quoted price. The cost of immediacy is the spread, which you pay every time you cross it.
What to watch for
In thin markets, at the open and around news, the price you see is not the price you get. A market order sent into an empty book fills wherever the next orders happen to be, sometimes far away.