UTM parameters are query-string tags added to a URL, like ?utm_source=newsletter&utm_medium=email&utm_campaign=october. When someone clicks the link, analytics and attribution tools read them to classify the visit. The five standard parameters are utm_source (the referrer, e.g. google, newsletter), utm_medium (the channel, e.g. cpc, email), utm_campaign, utm_content (to tell creatives apart) and utm_term (the keyword).
UTMs alone don't identify which ad was clicked, so attribution tools usually add ad-level ids (campaign, ad set and ad) filled by each platform's URL macros. The most common mistakes are inconsistent naming (Facebook vs facebook), missing tags on some ads, and hard-coding a click id like gclid into a URL, which assigns every visitor the same click.