GM-less games lack the typical Game Master (GM) who runs the game for a group of players and instead distribute the GM's duties to the players themselves.
GM-less games actually should be thought of as "GM-full", because everyone acts as a GM in these games.
Playing GM-less AKA GM-full games can be a great way to break out of the traditional gaming mindset of "GM tells the story, players react" and give players practice at narrative control, scene framing, playing NPC's, and contributing ideas in general.
GM-less AKA GM-full games can run afoul of the Czege principle, which states that having the same player create a conflict *and* resolve it is boring. These games are usually designed to have conflict come from the ruleset itself — such as the way the "menace" behaves in Geiger Counter — or player vs. player: the conflict a character suffers is usually created by a player who doesn't 'own' the character, or sometimes a mix of the two.
Example games include Universalis, Geiger Counter, Fiasco, and Polaris.
But one can even play a traditional RPG such as D&D GM-less / GM-full, with players playing the NPC's and monsters, which can be randomly generated.