Session 0 is a common term used in communities discussing table top RPGs. For those unfamiliar, Session 0 is the first session of the game that takes place before the game starts. At Session 0 you make characters with the other players (sometimes anyhow), and in general talk about the game before the game gets going.
It is a good chance to talk to the GM and the other players about your character. It lets you set up pre-existing connections with other PCs. It lets you say where you want the game to go. Most importantly, it enables everyone to get on the same page regarding expectations for the game.
If you are the GM this is a good time to make sure everyone knows how you run your games, and how you plan to run this game. Are you going Rules As Written? Are you going to be more Rule of Cool? How lethal are you planning on being? How paranoid should the players be about their tactics, watches, and interactions with NPCs? Is there any content you flat out don't intend to have in the game? Are there character concepts that are better suited to the game you want to run, or worse? What is the world like?
As a player this is your chance to tell the GM if there are any types of stories you are particularly interested, or not interested in doing. Did you give your character a happy home life and solid family and don't want the GM to touch them? This is your chance to tell them before the game starts. Are you not interested in plots where the love interest turns out to work for the BBEG? Time to tell your GM. Are you specifically looking to have a frenemy rival that you don't know whose side they're on, the relationship is complicated, and will culminate in a fateful duel in the rain some night where whomever wins is going to be crying over the lost friend and enemy? Yeah, time to talk about that too.
You can talk about all of these things outside of Session 0, but this is the best chance to do it. Why? Because it is before the game starts. You can set expectations and boundaries before the game even begins. You can establish the social contract. You can make sure the plot you want to run is one that is actually interesting to your players. You can make sure the characters will work together and not be at each other's throat.
You don't have to do Session 0. But you should. It is hands down the best way to cut off so many problems that can kill a game before they even start!