I see this in examples of ISR code but what is it?
Interrupts are normally turned off automatically when an ISR is called.
There are two instructions that allow software to turn off (cli) and on (sei) interrupts to create a sequence of non-interruptable instructions, i.e. an atomic operation or critical section.
In some MCU there are several levels of interrupt priority and an ISR with lower priority may be interrupted by an ISR with higher priority. An atomic operation may also be required in an ISR with lower priority.
There are also cases where an ISR may allow interrupts (with the same or lower priority) to occur after the critical section of the ISR.
Normally an ISR should not contain cli()-sei() especially for the AVR. The hardware will automatically turn off interrupts during the execution of the ISR.