Well, in the context of Half-Life, VGUI is an acronym for Valve Graphical User Interface. It's the method by which you see the team/character selection, and most other client-drawn menus, provided as an extensible system in the HL source code.
EDIT: After looking on ESF-World, I see most of those downloads with VGUI in their titles are pictures of custom models, to be displayed in the class selection menu. This is a little misleading, as the pictures themselves aren't VGUIs, they're just displayed in a VGUI. Oh well.