Page templates are included in WordPress themes, and how they are used vary from theme to theme. A common use-case for page templates is a page template for the Front Page which, when applied to a page, gives it a different layout and content settings than a regular page.
You can find a list of all page templates by editing a page in the administration panel, locating the “Page Attributes” meta box and clicking the dropdown beneath the “Template” label. Some themes also include page templates for other content types than pages, such as posts, but it isn’t as common.