A proof copy is an early printing of a book made so the text can be checked and the book shown to reviewers and the trade before publication. "Uncorrected proof" means the text has not had its final corrections, so it may differ from the published book.
How to spot it
Proofs are usually bound in plain or simply printed wrappers, with "Uncorrected Proof", "Proof Copy" or similar on the cover. They may lack the final jacket design, illustrations or index, and a publication date and price are often printed on the cover. Earlier proofs were sometimes plain card covers with a typed or printed label.
What it does to value
Proofs come before the first edition, so for important books they can be worth as much as, or more than, a first edition, especially in fine condition and where few were made. They interest collectors most when the text differs from the published book, or when the proof belonged to the author, editor or a notable reviewer. For most titles a proof is a modest collectable.
See proof copies and advance reading copies for how to tell the different kinds apart and what affects their value.