The Drupal Features module is a way of packaging site components with the ultimate aim of easing migration. For example, an events section in Drupal doesn't just contain a node type called events, it also contains all of the configuration settings around comments, fields added to the node type, permissions available to users, menu items created and any views used to aggregate or search the events. Features can integrate module dependencies so that all functionality that has been packaged along with the feature is available on the other system.
The main thing to realize about Features is that they are not meant to transport content, just blocks of functionality. The idea is that if you create a "blog" feature then you can package that and deploy it to multiple sites.