It's about these characters called Fables from fables, folklore, and fairy tales who are driven out of the Fable realm by this guy called the Adversary. They escape to the mundane world (ours) in about 1900 because it's the only one the Adversary has never expressed any interest in.
Once they're here, they set up in New York; most of the human-looking Fables live in this hotel building that they call Fabletown and just mingle with the regular people (mundys) of New York City. Lots of them have jobs in NYC: for example, Cinderella owns a shoe store called The Glass Slipper. Others work in the Fabletown building, like Bigby Wolf (the Big Bad Wolf turned human) and Snow White.
The non-human-looking Fables like the 3 Blind Mice and the Jungle Book characters live in the Farm, which is a huge plot of land in upstate New York. They're relegated to the Farm because it's the Fables' highest law that they're not allowed to reveal their magical nature to any mundys.
In short, it's just a brilliant comic. Willingham balances all the folklore and magical stuff with enough real world sensibilities that it doesn't come off as goofy (unless he means it to) and the stories have been great so far. The first arc, collected in the "Legends in Exile" TPB, is about Bigby's investigation into the murder of Snow White's sister and it's one of the most thoroughly entertaining mystery stories I've read. The second arc, in the "Animal Farm" TPB, is about an uprising in the Farm. Also really good. Just buy the first TPB and you'll probably be hooked. It's not even that expensive; I got it at Waldenbooks for about $10.