If you e.g. have an entity "OrderRow" and another entity "Order", there will be a navigational property on the OrderRow that points to the Order it belongs to.
Currently Entity Framework supports only Explicit Lazy Load which means that if you have retreived a number of OrderRows and want to check something on the Order you need to:
// or is an OrderRow
if(!or.Order.IsLoaded)
or.Order.Load()
or.Order.Cancel();
However if you have implicit lazy loading you don't need the IsLoaded check, it will be done automatically, you can do or.Order.Cancel()
directly and the Order will be loaded automatically if needed. This is how linq-to-sql works and it saves some typing and some risk for mistakes. On the other hand it makes it less clear exactly when and how database access will be performed. With implicit load it is easy to write inefficient code that makes one DB roundtrip for each line to be fetched from a table.