Exactly as they sound, actually! The Abyss in Pandora Hearts is another realm or dimension. Before it was contorted, it was filled with a lot of floating golden lights. These lights later go on to pick and choose Baskervilles and guide them to Glen Baskerville. The Abyss wiki page does have a short notation on these.

In short, they're a bunch of lights no one else but Leo can see unless you're looking at Leo's eyes, then they reflect there. So other people can only see those lights looking at the reflections of them in Leo's eyes. I hope that makes any sense at all. Although they're a really big part of his story, the explanation surrounding why they're visible in only his eyes is vague. (ie: They don't show up in any other Glen's eyes, etc. Maybe it's because Leo was born like that? Who knows!)