What are socket exceptions? What is out-of-band data?

What are socket exceptions? What is out-of-band data? 

  Unlike exceptions in C++, socket exceptions do not indicate that an
  error has occured.  Socket exceptions usually refer to the
  notification that out-of-band data has arrived.  Out-of-band data
  (called "urgent data" in TCP) looks to the application like a separate
  stream of data from the main data stream.  This can be useful for
  separating two different kinds of data.  Note that just because it is
  called "urgent data" does not mean that it will be delivered any
  faster, or with higher priorety than data in the in-band data stream.
  Also beware that unlike the main data stream, the out-of-bound data
  may be lost if your application can't keep up with it.

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