When people refer to "the pits" they're talking about very high level areas early on in Hell difficulty. The most commonly run "pits" are:
The Pit, located in the Tamoe Highlands
The Mausoleum, located in the Burial Grounds by Blood Raven
The Ancient Tunnels, located (I believe) in the Lost City
There are many others but these are the popular three. Basically, if you're a Cold Sorc you want to run either Mausoleum or Ancient Tunnels... if you're anything else, run the Pit levels 1 and 2. The attraction is that because of the high level of the area and monsters, anything can drop and the experience is good too. Although some of the baddies can take you out rather quickly with the right combination of mods/auras, especially the Archers in the Pit.