A treasury bill is a short term (less than one year) government zero coupon bond.
As they are zero coupon bonds, treasury bills do not pay interest. They are instead issued at a discount to their face value.
Treasury bill prices are used to determine short term risk free rates. Short term rates are useful in themselves. They are also used to adjust for the value of intervening interest payments when calculating longer term rates.
Like other government bonds, there is very little risk attached to investing in treasury bills. Default risk on a government's borrowings in its own currency is low enough to be regarded as zero. Because these are very low duration bonds, their price is not very sensitive to interest rate changes either.