Well in terms of the countryisde it is a ditch which separates a house (usually a large country house) with the open fields where animals graze.
Here is a cartoon picture of one
http://www.yale.edu/yup/images/bormann3.jpg
Some very rich people used to like the idea that their land went on forever (it probably did). They did not like the idea of a wall or fence at the end of their garden, and then open fields.
So they built a Ha Ha so that they could look out and just see fields going off into the distance, but animals could not walk in to their garden.
Usually from the garden side you could not see the ditch so it did look like the land just carried on. Only when you get up close can you see the ditch.
Here is a descrption from wiki with some pictures that make it clearer.
http://en.wikipedia.org/wiki/Ha-ha_(garden)