Short for Object Linking and Embedding Database), OLEDB is a COM based database access API that Microsoft bundles with the Windows operating system. It can read relational and non-relational data sources, and can wrap ODBC sources with an ODBC provider. OLEDB is not used outside of the Windows platform as it is dependendent on the COM framework.
Traditional (pre-.Net) ADO typically fronts an OLEDB driver, and Microsoft provides .Net wrappers for OLEDB drivers as well as native .Net providers for many sources. Other database API standards include ODBC and JDBC.
An OLEDB driver for a particular data source is known as a 'provider.' Microsoft bundle providers for several data sources with Windows. Some vendors (e.g. Oracle) also provide their own OLEDB drivers. A list of third parties that produce OLEDB drivers for various platforms can be found here.