A stepping is basically the batch of CPU. Its a designation as to which batch. The later the stepping, nomrally the newer the CPU.
A newer stepping also means a better CPU in some cases. A newer stepping may have bug fixes, thermal leak fixes and performance enhancements (very slight).
This is from Wiki:
Stepping is a designation used by Intel and AMD (or any semiconductor manufacturer) to identify how much the design of a microprocessor has advanced from the original design. The stepping is identified by a combination of a letter and a number.
Typically, the first version of a microprocessor comes out with stepping A0. As design improvements occur, later versions are identified by changes in the letter and number. Changes in the number (for example, A3) indicate minor design changes, while changes to both the letter and number are made following more extensive changes (for example, B2). Stepping allows consumers and servicers to identify a microprocessor's version.
The latest stepping fo a Core i7 920 is D0. Its the prefered 920 because it can overclock to a higher frequency (GHz) on the same voltage as its predecessor. Most Core i7 920s can hit 3.8-4GHz on decent air cooling on its stock voltage if it is a D0 stepping.
To give another example is the Q6600. When it first came out (2006) it was the first quad core CPU. It was designated the B3 stepping and had a TDP (Thermal Dissipated Power) of 125w. Then they released a new stepping noted as the G0 stepping in 2007. It had a TDP of 95w and as well ran on a lower stock voltage than the original Q6600. It also would overclock from 2.4GHz to 3GHz with the stock or lower voltage. It was the most sought after quad core for a long time.