What is a vortex generator?
To be more general, a vortex generator is a small angled plate installed on an outer surface of an aerodynamic body. The angle of the plate causes the air to swirl, creating a vortex behind it. This effect allows the air flow to remain "attached" to the surface even at points where the flow without a vortex would separate from the surface.

One of the most common uses of vortex generators is on aircraft wings forward of the ailerons. When the aircraft wing stalls, the flow detaches from the wings. This means that the flow will detach before it reaches the ailerons, making them ineffective. The use of vortex generators helps the ailerons to provide control even if the rest of the wing is stalled.


Source

Of course, these also add drag, even when the wing is not stalling, so they are only added where needed.

They are also used in other places, such as the engine, as in Farhan's comment above, and also on the tail of the 737.