A baffle is a shelf or maze of shelves which are placed in such a way so as to divert air or smoke. The intended effect is to either preheat or balance incoming air or to keep the flame and flue gases in the stove for a longer period of time, resulting in increased heat transfer.
A baffle may be found in some stoves and not in others, and takes several different shapes and locations, and can be made from lots of different things depending on what the stove designer wanted it for. Some stoves might even have several baffles. They control the movement of air and combustion gasses through the stove so that you get the most efficient combustion possible. Usually they aren’t an item of major concern, however on some stoves they may need to be removed as part of the stove maintenance procedure, and on other stoves they are made out of relatively fragile material that you need to be somewhat careful to avoid damaging.